About the Role
You will design implement and maintain credit risk models and frameworks aligned with BACEN regulations and IFRS 9. You will monitor and manage retail credit exposures across merchant and consumer portfolios from origination through performance. You will develop and validate ML and AI based models for PD LGD and EAD as well as behavioral scoring. You will build and maintain AI agents to automate risk monitoring provisioning and reporting workflows. You will define limits and credit appetite aligned with risk appetite. You will perform stress testing scenario analysis and model backtesting to ensure portfolio resilience. You will ensure consistency explainability and auditability across models and you will prepare and present insights and reports for senior management and regulators.
Requirements
- Solid understanding of BACEN credit risk regulations including Res. BCB 265/2022 CMN 4.557/2017 CMN 2.682/1999 Circular 3.978/2020
- Deep expertise across the retail credit lifecycle origination behavioral scoring collection and recovery
- Experience in the payments and acquiring industry including merchant settlement and receivables backed credit risk
- Hands on experience with IFRS 9 ECL modeling Stages 1 2 3 and provisioning methodologies
- Proven experience developing and validating ML AI credit risk models
- Strong programming skills Python SQL R SAS
- Familiarity with ICAAP and capital adequacy processes
- Understanding of model governance documentation and audit requirements
- Advanced English communication
Responsibilities
- Design implement and maintain credit risk models and frameworks aligned with BACEN and IFRS 9 standards
- Monitor and manage retail credit exposures from origination and underwriting to scoring and portfolio performance
- Develop and validate ML AI based models for PD LGD EAD and behavioral scoring
- Build and maintain AI agents to automate risk monitoring provisioning and reporting workflows
- Define limits and credit appetite aligned with risk appetite
- Perform stress testing scenario analysis and model backtesting to ensure portfolio resilience
- Ensure consistency explainability and auditability across models
- Prepare and present insights and reports for senior management and regulators