Credit Portfolio Modeller

From Open Risk Manual

Definition

The Credit Portfolio Modeller is a specialized Model Developer role that focuses on developing frameworks for the quantitative analysis of credit portfolios (Credit Portfolio Model).

The role can be considered as a subset of activities under Credit Risk Modelling although sometimes the latter terminology is used to denote individual entity credit risk models.

Roles and Responsibilities

Credit portfolio modellers develop tools to supporting credit portfolio management objectives. The nature of those objectives dictates to some degree the structure of the modelling framework, for example

  • whether the framework is able to assess / allocate risk to individual or pooled entities (corporate / retail)
  • the of the framework for risk capital and more generally ALM / Capital Management

Skills

Description of the abilities, proficiencies, know-hows, skills the a person must possess in order to carry out the risk management responsibilities

  • Business Skills
  • Technical Skills
  • General Skills (Linguistic)

Seniority Level

Indication as to whether the function is formally segmented into seniority levels (e.g. junior, senior) that have material skill / experience requirements and are not simply organizational arrangements.

Experience

Experience denotes the intangible qualities acquired by a person in the process of having performed certain functions in the past

  • Required experience in related business models
  • General work experience

Education

Education denotes any formal and long duration training that is considered an important prerequisite for a role

  • Educational level, e.g., university or college degree
  • Subject matter of studies / Specialization
  • Educational institution

Qualifications

Qualifications are formal certifications that a person fulfills some professional requirements

  • Certifications
  • Accreditations
  • Admittance to professional societies etc.

Semantic Data

  • The ESCO Code to which this job best corresponds to (as the most detailed leaf of the tree)



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