Credit Modeller

3 weeks ago

Mumbai, India Investec Full time

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.

Job Description

Team description
The IFRS9 Modelling Team is responsible for the development and implementation of credit models used for IFRS9 expected credit loss (ECL) estimation for Investec. The team is responsible for taking credit models through the full end-to-end process of model development: from scoping models to model development, model governance, model implementation and model maintenance according to the bank's risk framework.

Description of role and key responsibilities
• Responsible for hands-on development, maintenance and implementation of PD, LGD, and EAD for IFRS9 purposes. Minimum 5+ years of hands-on IFRS9/Credit model development experience in both retail and wholesale banking. Experience across multiple asset types or banks is desirable.
• Core responsibility is focused on leading/supporting Model developments (PD, LGD, and EAD) include the development of models as an end-to-end process: Scope model requirements, data reviews, portfolio analysis, model developments, engaging with key stakeholders, creating model documentation, taking models through internal governance process for approval, and supporting the implementation of models.
This role description accurately reflects the key responsibilities and associated skills, knowledge and attributes required for to perform this role at this time. It is the responsibility of the employee and manager, to update this profile, (and store against the employee's record), as responsibilities, required skills and knowledge changes.
• As an experienced member of the team, you are expected to proactively contribute to the model development strategy and modelling methodologies to improve Investec's credit risk models.
• Proactively engage with Credit and the Business units to support understanding of Credit Models by providing model training and model support.
• Provide guidance and support for junior members of the team in the development of Credit Models.
• Engage with the internal validation team and external auditors, as part of the model validation and review process.
• Other responsibilities also include: producing annual reviews of models, reviewing the model performance, model calibration, model backtesting, creating supporting analysis on models, and supporting model implementation within the bank's credit risk framework.

Core skills and knowledge
Technical Skills:
• Degree / Masters in Statistical, mathematical, financial or economics / STEM Subjects or equivalent
• Strong technical, commercial, and practical understanding of PD, LGD, and EAD Models and how these models are used for provisioning and capital estimation purposes.
• Extensive practical experience with predictive modelling / advanced modelling experience in Python & R. Experience in alternative languages such as SQL, SAS or Matlab will be considered.
• Strong Analytical Skills: Quantitative Problem Solving and Judgements. Ability to analyse, interpret and present complex analytical data, both verbally and in writing. Strong experience in developing practical technical solutions with limited data.
• Experience working with Low Default Portfolios (LDPs) is desirable.
• Model Development and Presentation skills: prepare high-quality analytical papers and present these papers in an effective manner appropriate to the technical audience/stakeholders.
• Ability to communicate complex concepts to non-technical audiences and the ability to build strong client relationships.
• Leadership experience – Some experience in managing/leading small teams/ providing mentorship for Junior modellers (a plus)
• Hands-on experience in programming/coding– strong programming skills ( Primarily Python, R) and other programming languages are a plus
Soft Skills:
• Significant experience in communicating complex modelling techniques to non-technical key stakeholders, such as senior executives, group credit and heads of business areas.
• Strong teamwork ethics
• Willingness to learn, adapt to change quickly and work proactively
• Self-motivated. Capable of working independently as well as within a team
• Strong Communication Skills (Written, Verbal & Presentation skills)

Any other attributes that would be helpful, but not essential for the role.
• Good understanding of Git (GitHub/GitLab) is a plus
• Proficient in Excel, databases/ SQL, and Microsoft Office
• Stakeholder management experience/skills;

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.


  • Sen. Risk Modeler

    2 months ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** The quant team in Mumbai is part of the global credit modelling team in QAT. We cover development of credit models including models used for Pillar 1 RWA and stress testing. Your responsibilities include: - Opportunity to participate in the development of models for credit parameters (PD/LGD) for use in regulatory capital...

  • Credit Modeller

    1 week ago

    Mumbai, Maharashtra, India Investec Full time

    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...

  • Sen. Risk Modeler

    3 days ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** You will have the opportunity to work in the Credit Portfolio Modelling team in the Quantitative Analysis and Technology area of Credit Suisse’s Chief Risk Officer division in Mumbai. In this function you are involved in mathematical design and prototyping of credit portfolio models, such as the Incremental Risk Charge,...

  • Sen. Risk Modeler

    1 week ago

    Mumbai, Maharashtra, India Credit Suisse Full time

    Your field of responsibilityYou will have the opportunity to work in the Credit Portfolio Modelling team in the Quantitative Analysis and Technology area of Credit Suisse's Chief Risk Officer division in Mumbai.In this function you are involved in mathematical design and prototyping of credit portfolio models, such as the Incremental Risk Charge, Trading...

  • Exp. Risk Modeler

    1 week ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** Quantitative Analysis and Technology (“QAT”) is a team located globally, responsible for modelling complex financial instruments within Credit Suisse. These models are used daily by traders for pric-ing potential transactions, risk teams to evaluate existing positions and IT systems to manage and fulfil various...

  • Risk Modeler

    2 weeks ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** You will lead independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying...

  • Exp. Risk Modeler

    1 week ago

    Mumbai, Maharashtra, India Credit Suisse Full time

    Your field of responsibilityQuantitative Analysis and Technology ("QAT") is a team located globally, responsible for modelling complex financial instruments within Credit Suisse. These models are used daily by traders for pric-ing potential transactions, risk teams to evaluate existing positions and IT systems to manage and fulfil various back-office...

  • Risk Modeler-model Validation

    3 weeks ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** Your responsibilities include: - The truly global scope of model risk means that this role will involve working with an exceptionally broad group of business partners from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models. - Validation of models...

  • Risk Modeler, Eno

    2 months ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** The Trade analysis team looks into performing pre-trade exposure calculations for live trades. This includes portfolio impacts (PE & EPE), haircut/initial margin recommendations, and in-depth analysis of structured deals. The exposures are used to ascertain credit charges and to understand the impact of new trades on...

  • Risk Modeler-model Validation

    1 week ago

    Mumbai, Maharashtra, India Credit Suisse Full time

    Your field of responsibilityYour responsibilities include: The truly global scope of model risk means that this role will involve working with an exceptionally broad group of business partners from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models. Validation of models and...

  • IRB Credit Modelling

    1 week ago

    Mumbai, Maharashtra, India The Edge Partnership Full time

    Key responsibilities Develop PD, LGD, EAD Models, and support other team members in the development of Credit Models as per IRB Regulatory Requirements. Scope model requirements, review data, analyse portfolios, develop models, engage key stakeholders, and create model documentation. Conduct annual reviews of models, review model performance,...

  • IRB Credit Modelling

    2 weeks ago

    Mumbai, India The Edge Partnership Full time

    Key responsibilities Develop PD, LGD, EAD Models, and support other team members in the development of Credit Models as per IRB Regulatory Requirements. Scope model requirements, review data, analyse portfolios, develop models, engage key stakeholders, and create model documentation. Conduct annual reviews of models, review model performance,...

  • Risk Modeler, Avp

    2 months ago

    Mumbai, India Credit Suisse Full time

    Risk Management English **We Offer** You will lead independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review: choice of modelling approach, the...

  • IRB Credit Modelling

    2 weeks ago

    mumbai, India The Edge Partnership Full time

    Key responsibilities Develop PD, LGD, EAD Models, and support other team members in the development of Credit Models as per IRB Regulatory Requirements. Scope model requirements, review data, analyse portfolios, develop models, engage key stakeholders, and create model documentation. Conduct annual reviews of models, review model performance,...

  • Risk Modeler, Avp

    1 week ago

    Mumbai, Maharashtra, India Credit Suisse Full time

    Risk ManagementEnglishWe OfferYou will lead independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying...

  • Model Validation Quant, Avp

    3 weeks ago

    Mumbai, India Credit Suisse Full time

    **Your field of responsibility** Join us as senior model validation quant in the Model Risk Management team, focusing on the vali-dation of quantitative models in the areas of Incremental Risk Charge (IRC), FRTB Default Risk Charge (DRC), Credit Economic Risk Capital (ERC), and Operational Risk (OR). This role will help you develop a deep understanding of...

  • IRB Credit Modelling

    1 week ago

    Mumbai, Maharashtra, India The Edge Partnership - The Edge in Asia Full time

    Our client is one of the leading global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Credit Risk team in Mumbai.An Exciting opportunity to work with a South African Bank who is building their captive in Mumbai. They are looking for a keen professional...

  • IRB Credit Modelling

    2 weeks ago

    mumbai, India The Edge Partnership - The Edge in Asia Full time

    Our client is one of the leading global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Credit Risk team in Mumbai. An Exciting opportunity to work with a South African Bank who is building their captive in Mumbai. They are looking for a keen professional...

  • IRB Credit Modelling

    2 weeks ago

    Mumbai, India The Edge Partnership - The Edge in Asia Full time

    Our client is one of the leading global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Credit Risk team in Mumbai.An Exciting opportunity to work with a South African Bank who is building their captive in Mumbai. They are looking for a keen professional...

  • IRB Credit Modelling

    2 days ago

    Mumbai, India The Edge Partnership - The Edge in Asia Full time

    Our client is one of the leading global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Credit Risk team in Mumbai.An Exciting opportunity to work with a South African Bank who is building their captive in Mumbai. They are looking for a keen professional...