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