Avelino Picon

Wide exposure to IRB and IFRS 9 credit risk environments including their regulations and internal and external standards. Experienced in working with the credit-risk metrics and portfolio data that underpin PRA regulatory submissions. Successfully developed end-to-end credit scorecards (Behavioral and Application) for retail credit products (credit cards, personal loans, overdrafts, Asset Finance and mortgages).

Including model documentation and implementation to ensure compliance with internal and external risk policies and standards. Management of PD, LGD, and EAD models: Recalibration (PDs), model-independent validations (PDs) and running BAU process (PDs, LGDs, and EADs). Building and maintaining monitoring tools for scorecards (internal: bespoke & external: Bureau) and risk models (PDs, LGDs, and EADs).

Time-series analysis for multiple purposes, including retail sales forecasting and macroeconomic factor prediction, using ARIMA, ARCH/GARCH while also beginning to incorporate Bayesian methods into my analytical work. End-to-end development of score models for collections agencies and development ratings in business-to-business (B2B) contexts. Supported strategies teams of collection agencies through the development and analysis of strategies reports and data visualisation to design and apply the collection strategies.

Perform end-to-end independent model validations and contribute to the improvement of the credit risk framework and internal policies. Managed a team of 5 analytics professionals within the Business Intelligence model analytics unit, delivering customer-insight and marketing-oriented analysis to support commercial and credit strategies in a leading regional bank with international operations.

LEAD IMPAIRMENT MODELLER at Vanquis (2026-04 – Present)

Specialist Bank

• Recalibration of the SICR model for the Credit Card portfolio, including full statistical review, back testing and IFRS 9 alignment.
• Led the end-to-end development of the SICR model for the Vehicle Finance portfolio, covering data preparation, modelling, validation, documentation and production deployment.
• Improved the SAS Viya IFRS 9 ECL engine for the Vehicle Finance portfolio, optimising model calculations, runtime performance and stability across monthly impairment cycles.
• Advised the Impairment team on best-practice use of the SAS Viya platform and coordinated with IT to enhance the IFRS 9 modelling environment, achieving better performance, reliability and resource efficiency.

SENIOR ANALYST at Aldemore (2024-09 – 2025-12)

Challenger Bank

• Led the end-to-end development of an application scorecard for the Access Finance portfolio, including the design and implementation of a generic visual analytics tool to present model variables and performance to users and stakeholders. This enabled collaborative decision-making with the business on the final model selection.
• Conducted annual model reviews, calibration, and including redevelopment, when necessary, of IFRS 9 suite components for Commercial Real Estate, Property Development and Dealer founding portfolios, ensuring ongoing model accuracy and regulatory compliance.
• Feasibility analysis to incorporate a challenger methodology for the Forward-Looking Information (FLI) or Macroeconomic model.
• Performed monthly updates of mortgage and car loan development data, alongside data reconciliation processes with production data for both portfolios. Improved the visualization of reconciliation outputs to enable faster issue detection and support data owners with clearer interpretation.

RISK MODELLER/VALIDATOR at Belmont Green (2022-09 – 2024-02)

Mortgage specialist company

• Run the business-as-usual process for the expected credit lost (ECL) IFRS9 model monthly and perform risk analysis on the ECL and follow up the model performance of the model components that compute the ECL namely PD, LGD, EAD, Stage Allocation and Macroeconomic models. This analysis is presented by the Model Risk Director in several committees to keep the business and the risk team informed and allow the business to act according to the results.
• Analysis of the new generation Bureau Scores (Experian) to determine the impact on the ECL. This analysis selected the best-fit application score over the Belmont Green Mortgages Portfolio from the several scores offered by the score bureau provider. Also, it allows estimates of the impact of the credit provisions.
• Recalibration of the new bespoke behaviour score using the new generation Bureau Behavior Score selected.
• Perform several model validations for impairment, operational, financial and treasures models.
• Follow up on the fulfilment of actions to solve the gaps in the models after being validated.
• Maintain updated Belmont Green model’s inventory and the model issue tracker. These tools improve significantly the follow-up process for the model validation.
• Support the Risk Model Director both in improving the Risk Framework and the models' policies and standards.
• Perform analysis and reports for internal and external audits.

DATA ANALYST/SCORE DEVELOPER at PRA GROUP (2019-08 – 2022-08)

Global debt buyer and collection company

• End-to-end development of collection scorecards to compute the probability of paying for several collection processes in different countries where the PRA Group Europe operates. These scores were built using internal and external data (Equifax Reports and Score). They had a positive impact on the payment rate of each portfolio in the following year of the implementation. Also, the new drivers of these scores were included in the corresponding valuation models having a positive impact on the portfolio valuation process.
• Building portfolio-valuation reports to support acquisition processes of the new defaulted credit portfolios. These reports enabled the Spain and Norway strategy teams to secure more competitive prices based on risk assessment while acquiring new debt portfolios. As a result, the acquisition success rate in debt portfolio auctions increased significantly in Spain and Norway.
• Perform a macroeconomic analysis to find out the best drivers of the payment rate. This analysis allows the UK strategy team to include macroeconomic drivers in the calibration of the provability to pay. As a result, the model they used to prepare the annual recovery plan improved, giving projections that were more in line with reality.

ANALYTICAL CONSULTANT at Dun & Bradstreet (2018-08 – 2019-06)

Global data and rating provider for B2B credit deals

• End-to-end development of a B2B Credit Rating model for the UK unincorporated businesses. This model increases significantly the power prediction of the probability of default model compared with the previous model used for this business sector. As a result, the marketing for this product was intensified to increase their sales in the UK market.
• Creation of a SAS tool for performing Marginal Information Value Analysis to select, group and split variables to build scorecards in a semi-automatic way. This tool challenges the previous approach used to develop the row scores for business. As a result, two of the four raw scores (for MSEs and Small Corporate Businesses) were modified. Also, this approach was incorporated in the Dun & Bradstreet UK methodology to develop the raw scores

CONSULTANT at 4Most (2016-03 – 2018-07)

Risk Consultant Company

• Recalibration of PD model for unsecured lending products (Credit Cards, Personal Loans, Overdraft), in a medium-sized bank in the UK.
• Maintenance and improvement of monitoring tools for PD models.
• Independent Model review of the PD models for unsecured lending products. (Credit Cards, Personal Loans, Overdraft).
• End-to-end development of credit scorecards for personal lending to borrowers with low credit profiles.

ANALYTICS MANAGER at Mercantil Bank (2001 – 2015-11)

Second biggest Bank in Venezuela with branches in the USA. My journey in Mercantil began as an Analyst, and over time, I earned two promotions, eventually assuming the role of Analytics Manager, where I led a team of five junior analysts. Due to personal reasons, I decided to relocate to the UK. In my last position, the "Analytical Manager/" team was within the scope of Business Intelligence under the Marketing Department.

• Developing several extractions, transformation and loading (ETL) processes to support the construction of analytical DataMart.
• Work closely with internal customers and provide them with accurate information solutions and practical business insights.
• Create innovative statistical reports (including segmentation, profiling and data scoring techniques) enabling the marketing team to have a better understanding of customers and therefore allowing them to produce more effective campaigns for cutting costs and increasing profit.
• Responsible for developing predictive models and scorecards for marketing and risk purposes e.g. purchases propensity models, pre-approve application scores, etc.

Specialisation in Computational Statistics – Universidad Simón Bolívar, Caracas, Venezuela (1999-04 – 2002-12)

Advanced Study Program in Finance – Universidad Católica Andrés Bello, Caracas, Venezuela (1998-05 – 1998-09)

Bachelor of Science in Industrial Engineering – Universidad Católica Andrés Bello, Caracas, Venezuela (1991-10 – 1997-12)