Elvira Sakhautdinova

Model Risk Management - Credit Risk Validatior @Deutsche Bank

Frankfurt, DE

We assess reliability of quantitative credit risk models for different portfolios of the bank (EAD, PD, LGD, CCF and other parameters) with the help of statistics and machine learning. We perform risk assessment compliant to relevant regulatory guidelines and manage risk as second LoD. We communicate with ECB, supervisory authorities, and other stakeholders on topics of ongoing validations and model audits. My responsibilities also include a supervision of other team members on ongoing validations from methodological perspective after methodological changes and changes in the validation toolbox. I am as well responsible for maintainance, debugging and further development of the validation toolbox (validation scripts of the department).