Our client, a global payment consulting firm, is supporting a leading financial services institution in Sri Lanka on a large-scale decision science and risk transformation initiative. The engagement aims to strengthen the client’s credit risk management and portfolio analytics capabilities by developing robust, regulatory-compliant credit risk models.

To enable this, the client is looking to onboard a Credit Risk Modelling Consultant. The consultant will play a critical role in designing, building, and validating credit risk models (PD, LGD, EAD) and scorecards for retail and SME portfolios. This initiative is part of a larger digital transformation program to enable data-driven lending, enhance credit decisioning, and align with IFRS 9 and Basel standards.

Key Responsibilities:

• Develop statistically robust application and behavioral scorecards and credit risk models (PD, LGD, EAD).
• Design and implement loss forecasting frameworks using vintage, roll-rate/Markov, survival/hazard, or GLM/GBM methodologies.
• Engineer and validate features from bureau, behavioral, transactional, and alternative data sources, ensuring high-quality data management.
• Conduct model calibration, back-testing, and performance monitoring, including PSI/CSI, KS/AUC, and calibration tests.
• Build and test explainability tools (e.g., reason codes, SHAP) and bias/fair-lending checks.
• Align risk models with IFRS 9 / CECL frameworks and capital adequacy standards (Basel PD/LGD/EAD concepts).
• Collaborate with senior client stakeholders, model governance teams, and decision science leadership to deliver actionable insights.

Your Background:

• 8+ years of experience in credit risk modelling, scorecard development, and portfolio analytics.
• Advanced degree (Master’s or higher) in Statistics, Economics, Mathematics, or a related quantitative discipline.
• Proven experience with credit card or retail lending portfolios.
• Strong hands-on skills in Python, SQL, SAS, ML modelling, and Tableau for data analysis and visualization.
• Deep understanding of IFRS 9 / CECL, model lifecycle management, and risk governance practices.
• Excellent communication skills, with the ability to explain analytical concepts to non-technical stakeholders.

Other Information:

• Location: Colombo, Sri Lanka (on-site)
• Duration: 18 months (contractual role)
• Engagement: Full-time, working as part of the client’s analytics team
• Compensation: Competitive, based on experience and suitability