Zsolt Jaczko
Head of Retail IRB Modelling
Nationwide Building Society
Session
Surprise effect of climate risk data in regulatory models
Biography
Zsolt leads the IRB model transition program at Nationwide to satisfy the PRA regulatory requirements on Hybrid Mortgage Model developments and the EBA initiatives to reduce RWA variability and make the industry’s risk consumption more comparable.
He spent his last 20 years on the retail analytics, modelling field establishing foundations of effective model risk management frameworks for international companies and driving innovative model development to serve business needs on top of the compliance work. Recently he is also working on EPC / ESG risk including into capital modelling to safeguard the society’s capital strength against climate risk events.