Campion Pickworth
Wholesale Credit Risk Model Validation Contractor
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Wholesale Credit Risk Model Validation Contractor
Remote | Contract | Low Default Portfolios
We are looking for an experienced Wholesale Credit Risk Model Validation specialist to join a credit risk modelling team on a contract basis. The role is fully remote and would suit someone with strong technical modelling skills and experience validating models for Low Default Portfolios (LDPs).
The focus will be on the independent validation and review of wholesale credit risk models covering Sovereign, Sub-Sovereign and Financial Institution (FI) exposures.
Key Responsibilities
- Perform independent validation of wholesale credit risk models, with a particular focus on Low Default Portfolios.
- Review and challenge model methodologies, assumptions, data, segmentation and statistical approaches.
- Assess the appropriateness of modelling techniques where default data is limited, including the use of external data, expert judgement and other relevant evidence.
- Conduct quantitative testing, including model performance, discrimination, calibration, stability and sensitivity analysis.
- Review model documentation and provide clear, evidence-based validation findings and recommendations.
- Support the assessment of model limitations, compensating controls and potential areas for remediation.
- Work closely with model developers, credit risk stakeholders and other validation teams to understand and challenge modelling approaches.
- Contribute to validation reports and communicate technical findings clearly to both technical and non-technical stakeholders.
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Technical Requirements
Strong hands-on technical skills are important for this role. Experience with:
- Python – data analysis, statistical testing and model validation.
- SQL – extracting, manipulating and analysing large datasets.
- Statistical modelling and quantitative analysis.
- Credit risk modelling concepts, including PD, LGD, EAD and relevant model performance metrics.
- Model validation frameworks and validation methodologies.
- Experience working with limited-default or sparse-default datasets.
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Experience
We are particularly interested in candidates with experience in:
- Wholesale credit risk model validation
- Low Default Portfolios (LDPs)
- Sovereign and/or Sub-Sovereign credit risk
- Financial Institutions (FI) credit risk
- Regulatory or internal model validation frameworks
- Challenging models where traditional statistical approaches are constrained by limited default observations
Experience developing models as well as validating them would be advantageous, as the role requires sufficient technical depth to independently reproduce, test and challenge modelling approaches.
Contract & Working Arrangement
- Contract position
- Fully remote
- Flexible working arrangement
- Initial contract with potential for extension, subject to requirements
- Day rate: competitive and reflective of the contract scope and remote working arrangement
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