Internal Ratings-Based modelling sounds like a regulatory acronym. In practice it is the job spec for half the junior risk roles in European banking.
Internal Ratings-Based (IRB) modelling - the regulatory framework under which European banks calculate credit-risk capital - is the day job for a significant fraction of junior risk analysts.
The structure of IRB work
There are three model types: PD (probability of default), LGD (loss given default), and EAD (exposure at default). Junior analysts spend most of their time on data preparation, validation, and monitoring - not on the modelling itself.
What we cover
The MCF sequence walks through one full PD model end-to-end - sampling, definition of default, segmentation, modelling, validation, and the documentation pack expected by regulators. Students leave knowing what an IRB validator looks for and how to produce a defensible model.