About

Hello and welcome! I’m Willem Pretorius, a dedicated professional on Credit Risk in the Netherlands. My foundation is built on an MCom in Mathematical Statistics from the University of Stellenbosch, South Africa, which kick-started my adventure in the complex realm of statistical and regulatory credit risk modelling in Europe and Africa.

Currently, as a Credit Model Consultant at Quant Professionals B.V., I specialize in the ever changing world of credit risk requirements in Europe from A-IRB modelling and validation to developing Automated Valuation Models (AVMs) for residential mortgages, aligning with the latest European CRR3 regulations. This includes building tailored capital and valuation models, conducting comprehensive analyses, and benchmarking against industry leaders. My work integrates data science with practical financial applications, while having a large focus on regulatory compliance.

Previously, at Rabobank, I was the forefront of developing A-IRB PD (the full PD modelling cycle consisting of risk differentiation - scorecard development, risk quantification - calibration, representativity, and capital impact), LGD (the full LGD modelling cycle with special focus on economic downturn calibration for performing and in-default models as well as Margin of Conservatism analysis), and EAD (the full EAD modelling cycle with a focus on additional drawings and future drawings models for CCFs including calibration and downturn capital impact), particularly focusing on Corporate (large companies and agricultural) and Retail (SMEs and Mortgages) portfolios. My role revolved around not just applying what I’ve learned about PD, LGD, EAD, IFRS9, and Stress Testing models, but also constantly expanding my knowledge and understanding in this field. Working previously within the Methodology & Strategy team, I had the unique opportunity to untangle the complexities of the regulations, policies and procedures regarding A-IRB, IFRS9, and Stress Testing methodologies in Europe, making them more accessible for practical model development.

Before Rabobank, my role as a Quantitative Developer at ABSA Group Limited (previously Barclays Africa) honed my proficiency in multiple coding languages (C#, Python, R, SQL), setting the stage for innovative financial engineering solutions. At Riskworx, I contributed significantly to product development, model validation, and risk analytics, serving clients like the Development Finance Company of Uganda Bank Limited. From pioneering machine learning models to implementing Basel III requirements, I have consistently combined technical expertise with strategic insight.

My journey in the field is marked by continuous learning and adaptation. My expertise isn’t just confined to model development; I’ve led the charge in model testing, stakeholder and business management, and regulatory compliance (writing policies and procedures by interpreting regulatory requirements), ensuring our models withstand scrutiny and drive strategic decision-making from the business side. Deep dives with business experts have further solidified my reputation as a problem-solver and innovator in the field.

Purpose of the Website Link to heading

This website serves as a professional portfolio, showcasing my journey, projects, interpretation of regulations, and contributions to the world of credit risk modelling and analytics. It’s a platform for knowledge sharing. Here, you’ll find insights into my work, methodologies, and a deep dive into the regulatory environment in Europe.

On this site, you’ll discover a comprehensive look into my professional endeavors, from innovative methodologies I’ve employed to detailed explorations of regulatory compliance. It’s an invitation to explore the ever-evolving landscape of credit risk analysis, underscored by a commitment to continuous learning and the sharing of knowledge with peers and enthusiasts alike.

Enquiries Link to heading

If you think my experience can benefit your organization, please contact me.