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Irb Credit Modeller
3 months ago
Our culture gives us our edge:
we work hard to find colleagues who'll think out of the ordinary and we put them in environments where they'll flourish.
We combine a flat structure with a focus on internal mobility.If you can bring an entrepreneurial spirit and a desire to learn and collaborate to your work, this could be the boost your career deserves.
- Job Description
What you will be doing:
- Develop PD, LGD, EAD Models, and support other team members in the development of Credit Models.
- Scope model requirements, review data, analyse portfolios, develop models, engage key stakeholders, and create model documentation.
- Take models through internal governance process for approval and support the implementation of models.
- Conduct annual reviews of models, review model performance, calibrate models, backtest models, and create supporting analysis on models.
- Research, design and implement best practice methodologies for quantifying credit risk in line with Basel 3.1 IRB methodology and PRA Supervisory requirements.
- Proactively engage with Credit and the Business unit to support understanding of Credit Models by providing model training and support.
- Create documentation of model methodology, process and techniques used in the model development.
- Support model implementation within the bank's credit risk framework.
- Resolve ad hoc modelrelated issues.
What we are looking for:
- Handson modelling experience in model development for PD and LGD models, ideally in the context of IRB in strong regulatory environments.
- Previous handson modelling experience, ideally in SQL or Python (or willingness to learn)
- Excellent analytical skills: quantitative problem solving and Judgements, and the ability to analyse, interpret and present complex analytical data, both verbally and in writing.
- Strong interest in learning, understanding, and developing credit models and machine learning techniques.
- Model documentation and presentation skills: prepare highquality analytical papers and present them in an effective manner appropriate to the target audience/key stakeholders.
- Selfmotivated, capable of working both collaboratively and independently
- Strong communication skills (written, verbal & presentation skills).
- Willingness to learn and adapt to change quickly.
If you are passionate about developing Credit Models, have strong analytical skills, and enjoy working in a collaborative environment, then we would like to hear from you.
Embedded in our culture is a sense of belonging and inclusion.
This creates an environment in which everyone is free to be themselves which helps to drive innovation, creativity and ultimately business performance.
At Investec we want everyone to find it easy to be themselves, and to feel they belong. It's a responsibility we all share and is integral to our purpose and values as an organisation.
We want our people to feel empowered to be themselves in an environment that supports them, enabling them to perform in "out of the ordinary" ways.
If you require any adjustments to support you through the recruitment process, as well as supportive and flexible working arrangements to help you succeed with us, please let our recruitment team know.
