Senior consultant ECL IFRS 9 model validation - Freelance

Daily rate: TJM HT max 999 € (hors éventuels frais de mission, à discuter avec le client)

For an international banking institution, we are looking for a senior independent consultant specialising in IFRS 9 and Expected Credit Loss ECL model validation.
The assignment aims to support the bank in the justification, validation and backtesting of a Group ECL model used for a Corporate portfolio, for which some detailed parameters and methodological components are not directly accessible to the local entity.
The consultant will notably be expected to :

• assess the existing ECL framework and identify its main limitations;

• evaluate the relevance and adequacy of the model for the Corporate portfolio concerned;

• review the main ECL components including PD, LGD, EAD, CCF, staging, SICR, forward-looking macroeconomic scenarios and management overlays;

• define and perform backtesting of PD, LGD, EAD and ECL outputs;

• compare model estimates with observed defaults, recoveries and realised losses;

• design and perform sensitivity, stability and consistency tests;

• develop independent challenger approaches to assess the reasonableness of the Group model outputs;

• use, where relevant, external data such as external ratings, default statistics, CDS spreads, bond spreads, secondary market prices of syndicated loans and borrower financial information;

• assess the representativeness of the model development population compared with the European portfolio;

• propose documented adjustments or management overlays where necessary;

• contribute to the definition of a sustainable local model validation and governance framework;

• prepare documentation supporting discussions with control functions, auditors and supervisory authorities;

• contribute to a regulatory remediation plan aimed at demonstrating the robustness of the ECL framework and addressing existing supervisory findings.

The consultant must have significant experience in banking credit risk, IFRS 9 and model validation, ideally covering Corporate or Large Corporate portfolios.
Previous experience in validating Group models, vendor models or partially black-box models, as well as a strong understanding of European banking supervisory expectations, would be highly valued.
The consultant will work with 2 quantitative analysts of the Bank.
Experience with quantitative tools such as Python, SAS, R, SQL or advanced Excel is desirable.
The assignment will be performed in an international environment. Professional fluency in English and French is mandatory.