Senior Quantitative Credit Risk Analyst

3 weeks ago


Mumbai, Maharashtra, India Investec Full time

Job Description:

We are seeking a Senior Quantitative Credit Risk Analyst to join our team at Investec. This role will involve developing and refining IRB credit risk parameters and collaborating with team members to develop credit risk models across retail and non-retail portfolios.

Key Responsibilities:

  • Model Development: Develop and refine IRB credit risk parameters, including PD, LGD, and EAD, and collaborate with team members to develop credit risk models.
  • Model Management: Oversee the full lifecycle of models, including scoping, data review, stakeholder engagement, documentation, and governance approval.
  • Performance Analysis: Conduct annual reviews of models, calibration, backtesting models, and performance analysis to ensure accuracy and reliability.
  • Stakeholder Engagement: Collaborate closely with Credit & Business, support functions to support the correct understanding, use, and implementation of models within Investec's credit risk framework.

Requirements:

  • Education: Bachelor's/Master's degree in highly quantitative subjects (Maths, Physics, Engineering, Economics, etc) with excellent academic records.
  • Modelling Experience: Hands-on modelling experience in development of PD and LGD models, preferably within IRB and stringent regulatory frameworks such as EBA or PRA.
  • Coding Proficiency: Demonstrate coding proficiency in SQL or Python (or show strong willingness to acquire this skill).
  • Analytical Acumen: Exhibit exceptional analytical abilities, with a talent for interpreting complex data and presenting findings clearly to diverse audiences.
  • Continuous Learning: Display strong interest in mastering credit risk models and understanding the UK's IRB regulatory environment.

About Investec:

Investec is a distinctive Specialist Bank serving clients principally in the UK and South Africa. 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.

Our Culture:

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.



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