IRB Credit Risk Modeller
4 weeks ago
Investec is a specialist bank serving clients in the UK and South Africa. Our culture gives us an edge: we work hard to find colleagues who think out of the ordinary and 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.
Key Responsibilities:
- Develop and Refine IRB Credit Risk Parameters: Develop and refine IRB credit risk parameters (PD, LGD, EAD) and collaborate with team members in the development of credit risk models across retail and non-retail portfolios.
- 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. Address and resolve deficiencies identified from this process.
- Continuous Learning: Research, design, and implement best practice methodologies for quantifying credit risk in line with UK PRA's Basel IRB standards and supervisory requirements.
- Stakeholder Engagement: Collaborate closely with Credit & Business, support functions to support the correct understanding, use, and implementation of the 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 the development of PD and LGD models, preferably within IRB and stringent regulatory frameworks such as EBA or PRA.
- Coding Proficiency: Demonstrate coding proficiency ideally 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.
- Communication and Documentation: Prepare high-quality documentation. Communicate clearly and persuasively in both written and verbal forms.
- Soft Skills: Work effectively both independently and as part of a team. Show a readiness to learn and adapt swiftly to new challenges.
At Investec, we value a sense of belonging and inclusion. This creates an environment where everyone is free to be themselves, which helps drive innovation, creativity, and business performance. We want everyone to feel they belong and are part of our team.
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