Carl Sanderson

Credit risk model development leader with 9+ years' quantitative modelling experience, including 6+ years across the full IRB model lifecycle — from independent second-line validation through to first-line technical ownership, architecture, and direct PRA engagement — within FCA/PRA-regulated financial services. Technical owner of model development at a leading UK building society: the final technical sign-off before production across code, statistical methodology, regulatory alignment, and business fit, with matrix leadership of a multi-disciplinary team of four (extending to six during development phases) and accountability for the target technical architecture all development aligns to — a model estate spanning IRB rating systems, IFRS 9, credit risk forecasting, pricing, and equity release valuation, supporting c.£30bn of exposure across c.200,000 accounts. The Society's hybrid IRB rating system and its Basel 3.1 equivalent are both in production under this sign-off.

Leads IRB rating system remediation following PRA feedback and is the Society's subject matter expert on Basel 3.1 IRB requirements ahead of the January 2027 implementation date; led an IRB rating system submission through to PRA review; holds rare dual-perspective expertise on a single high-complexity model — equity release — across both first-line technical and second-line governance functions. Provided technical review supporting an ICAAP submission that reduced regulatory capital by c.£200m, delivered on a six-week turnaround. Remains a hands-on Python modeller: specified and technically owns an automated scorecard development engine, built gradient-boosted PD challengers to establish the performance ceiling against the logistic scorecards, and corrected candidate model selection by replacing Gini and actual-versus-expected with PR-AUC and the Brier score under severe class imbalance.

Consistent record of originating technical capability from scratch — including the business's first automated model documentation process and its first agentic, RAG-based documentation review tool, built on an orchestrator-led multi-agent design. Physics graduate with an earlier career in energy analytics (probabilistic forecasting, MCMC simulation, asset optimisation), providing genuine, differentiated grounding for climate and transition risk contexts.

Technical Lead, Model Development - Skipton Building Society (FCA & PRA regulated)

(2024-08)

Technical owner of model development — the final technical sign-off before production across code, statistical methodology, regulatory alignment, and business fit for all team outputs across the IRB, IFRS 9, credit risk forecasting, pricing, and equity release model estate (c.£30bn exposure, c.200,000 accounts). Sets the target technical architecture the team's development aligns to and directs strategic model development initiatives. Promoted from Modelling Lead.

• Provide matrix leadership to a multi-disciplinary team of four — a modelling lead, two model developers, and an analytical engineering lead — extending to six when credit analysts join development phases; float across hubs as technical owner of all model development artefacts, setting technical direction and overseeing developments end to end.
• Created and maintain the roadmap for the team's IRB model development programme — owning the sequencing, scope, and prioritisation of rating system development as regulatory and business priorities evolve; under this programme, the Society's hybrid IRB rating system and its Basel 3.1 equivalent are both in production following final technical sign-off and review.
• Lead IRB rating system remediation following the Society's IRB application and PRA feedback; produced the Product Design Proposal covering five model components — IRB rating system, forecast, ICAAP, corporate plan, and pricing.
• Direct requirements gathering through business analysts, each paired with an analyst for technical support; participate in the monthly risk review and provide feedback through Agile Release Train (ART) reviews. The programme runs under SAFe Agile with CRISP-DM as the development methodology.
• Authored the RFP used to procure contractor support for the programme, covering technical scope and evaluation of responses.
• Engaged directly with the PRA on DP1/25 — contributing the Society's response into UK Finance's industry submission, assessing the industry response against Skipton's business interests to confirm a separate submission was unnecessary, and challenging positions advanced by other institutions at PRA round tables; delivered internal education to senior committees throughout.
• Act as the Society's subject matter expert on Basel 3.1 IRB requirements, including gap analysis against the January 2027 implementation date.
• Led first-line (1LOD) engagement with external independent model reviewers — acting as primary point of contact, preparing technical documentation, and providing substantive responses to challenge — alongside sustained engagement with second-line validation.
• Provided technical review and challenge on a retail mortgage forecasting model that enabled an ICAAP submission, contributing to a c.£200m reduction in regulatory capital; led governance turnaround in six weeks against a top-priority deadline.
• Directed the impact analysis for a mandatory credit bureau data generation migration affecting the application, behavioural, and IFRS 9 cure scorecards, and secured model risk committee approval for a "same scorecards, new data" recommendation with a post-cuto.