Credit Risk Modeling Expert | 9 Years of Experience in credit risk model development - PD, EAD, LGD
Hello! I'm a passionate credit risk modeling professional with 9 years of experience specializing in Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD). My expertise lies in building, validating, and implementing robust credit risk models that meet regulatory requirements and optimize decision-making processes.
- 🎓 Educational Background: B. Tech in Computer Science and MBA in finance
- 💼 Current Role:Model Development Lead at Skipton Building Society
- 🌍 Location: Leeds, UK
- 📊 Probability of Default (PD): Developed and validated PD models using statistical and machine learning techniques.
- 💡 Exposure at Default (EAD): Expertise in modeling EAD for both retail and corporate portfolios, ensuring accurate capital estimation.
- 🔧 Loss Given Default (LGD): Designed and implemented LGD models with a focus on recovery rate estimation and downturn scenarios.
- 🏆 Successfully led the development of a SME IRB model based basel 3.1
- 📈 Model Monitoring framework using python library Evidently.
- 📝 Credit Scorecard for credit cards.
- Programming Languages: Python, Pyspark, SQL
- Tools: Excel (Advanced), Git, AWS
- Machine Learning: Logistic Regression, Decision Trees, Random Forest, XGBoost
- Model Validation: Backtesting, Stress Testing, Regulatory Compliance (e.g., IFRS 9, Basel III)
- 💻 Exploring AI and machine learning applications in credit risk modeling.
- 📖 Continuous learning in areas of explainable AI (XAI) and model interpretability.
- 🤝 Collaborating on open-source projects related to risk management.
🚀 Let's build the future of credit risk modeling together! 🚀