Jakob Lavröd

Working with validation and monitoring of the IFRS 9 ECL models from a 2:line perspective, assessing regulatory compliance, model conceptual and theoretical soundness, as well as constructing the quantitative back-testing methodology. In addition, I am involved in model risk matters such as interest risk models, stress testing and developing best practice in statistical methods.

Working with IFRS 9 modelling, validation and implementation using the full model suite of PD, EAD and LGD and their respective subcomponents. Architect behind a model validation framework for the IFRS 9 models assigning materiality impact to individual model components based on balance sheet impact. Adapted Gaussian process theory for credit risk modelling to create an early warning system for risk profile deterioration.