IRB Credit Modeller

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.

Team description

The IRB Credit Modelling team is responsible for developing PD, LGD, EAD and slotting models across Investec plc in line with UK regulation.

Description of role and key responsibilities

What you will be doing:

• 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 3.1 IRB standards and supervisory requirements.
• Stakeholder Engagement: Collaborate closely with Credit and the Business and support functions to support the correct understanding, use, implementation of the models within Investec's credit risk framework.

Core skills and knowledge

What we are looking for:

• Educational background: Bachelor's/Master's degree in highly quantitative subjects (Maths, Physics, Engineering, Economics, etc) with excellent academic records.
• Modelling experience: Substantial experience – such as project or team lead – estimating IRB parameters for mortgages or wholesale portfolios in line with PRA (preferred) or EBA regulation.
• Coding proficiency: Demonstrate coding proficiency ideally in SQL or Python (or show strong willingness to acquire this skills)
• 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.

As part of our collaborative & agile culture, our working week is 4 days in the office and one day remote.

Investec offers a range of wellbeing benefits to make our people feel healthier, balanced and more fulfilled in their lives inside and outside of work.

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.

Research shows that some candidates can be reluctant to apply to a role unless they meet all the criteria. We pride ourselves on our entrepreneurial spirit here and welcome you to do the same – if the role excites you, please don't let our person specification hold you back. Get in touch

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