Zsolt Jaczko Email & Phone Number

United Kingdom

Swindon, Wilts, Gb

Spearheaded delivery of solutions for efficient model development, maintenance, including data quality controls, BCBS 239 compliance, testing and attestation framework, consistent model monitoring and review procedures including 1st line implementation testing protocols, mentoring a team of 20 people in Swindon and London.• Championed the creation of a new A-IRB / Basel methodology, a hybrid rating system based on model cyclicality measurements to provide more stable and less volatile capital estimates, and a non-cyclical LGD framework to reduce undesirable volatility due to house price index movements.• Drove establishment of the new A-IRB methodological standards and building into the future model development project plans, facilitating a series of EBA consultation paper (roadmap) responses.• Acquired approval on the new credit card and overdraft model suite to replace existing solutions and improve credit risk measurement and their usage within board risk appetite metrics.• Introduced improved CRR attestation and annual review process, challenging existing interpretations based on different market practices and industry knowledge.• Embedded IFRS9 Stage 1 models into an IRB framework and further contributed to the wider modelling community (credit concentration risk/pricing) as a regular invite to the Oversight Committee.• Empowered modelling team to provide input on capital-related processes (ICAAP, Pillar 3 disclosure, credit concentration risk modelling, EPC/ESG inclusion into capital allocation).

London, Gb

Headed policy gap analysis against market practices and IAS39/IFRS9 accounting standards and facilitate direction of changes with HSBC’s selected external auditors.• Enabled complete restructuring of implemented models and modernisation of group-wide impairment policies through the first Asia Pacific related impairment methodology and process review.• Set up a strong group-wide governance and oversight process on impairment allowances and enhanced group policy regulating modelling methodologies and related standards for accounting standards.• Led impairment model risk management convergence to the capital model risk management standards before the new IFRS9 models replaced the IAS39 standards.• Project-managed the group-wide IAS39 remediation to enhance existing impairment models, implement the back-testing framework and judgmental reserving process as an extension of the model outputs.• Enhanced oversight on provisioning model inventory globally and model their risk governance process.

London, Gb

Developed a unified model validation methodology, standards and procedures for retail credit risk models covering decision models, impairment and capital models, pillar 2 stress testing and economic capital models and risk-based pricing models.• Established the target operating model for model risk management to meet the OCC model risk management requirements.• Executed conceptual, applied and challenger validation methodology based on the model risk materiality to help senior management to focus on the main model risk areas.• Empowered a high-performance team of 30+ highly motivated quantitative analysts to deliver 500+ model risk assessments yearly.• Influenced regulatory approvals of model changes and initial model implementations by identifying existing model build standard practice weaknesses and recommending remediation plans. • Accelerated the internal and external trust on the models used by Barclays for risk management and capital calculation.• Mentored the validation team to successfully validate 95% of the retail credit risks models of Barclays and contributed to the first PRA model approval after a long trial period before.

Vienna, At

Provided executive-level leadership for retail risk management across network units in 15 countries, with nine direct reports, training and mentoring staff and guiding RBI group in new business developments and best practices. Chaired Retail Group Validation Committee.• Oversaw improvement in the credit risk operations concerning the credit lifecycle, including recruitment of staff to facilitate business objectives to align resources and obtain regulatory compliance.• Led technical model validation and formulation of methodologies as part of overall management framework including guidelines, best practices, and procedures• Strengthened the macro stress testing, economic capital allocation and model validation processes through expansion of risk management and control toolset, saving 25-30% economic capital within the retail area.• Devised and implemented several risk management methodologies to optimise groups’ capability to optimize the bank’s regulatory and economic capital.• Received five A-IRB regulatory approvals (for multiple products) in Central and Eastern Europe.• Launched standardised calculation platform that streamlined processes and reduced calculation time from 12 hours to 2 hours allowing the team to perform regulatory capital.• Introduced advanced model calibration and dynamic cut-off setting approach for lending optimization using model calibration with macroeconomic information already in 2009.• Merged point-in-time and through-the-cycle framework; earned the highest award at Credit Scoring and Credit Control Conference in Edinburgh.

Budapest, Hu

• Build a risk analyst / modeling team (10 people)• Ensured quantitative readiness for Basel II application through PD, LGD, EAD modeling, stress testing, and risk data mart development.• Lead the implementation of the Hungarian capital allocation approach.

Budapest, Hu

• Oversaw the design and programming of IT infrastructure to standardize data maintenance, portfolio analysis, monitoring methods and support data driven decision making.• Created and maintained reserves models and adapted group stress testing for mortgage portfolios.• Designed automated overdraft product; updated lending policy.