IRB Credit Modeller

About Us: At Investec, our IRB Credit Modelling team is at the forefront of developing and refining PD, LGD, and EAD models across our diverse portfolios.

We are dedicated to ensuring the accuracy and reliability of our credit risk parameters, aligning with the latest regulatory standards.

About the Role: We are seeking a talented IRB Credit Modelling Specialist to join our dynamic team.

In this hands on role, you will develop and refine IRB credit risk parameters (PD, LGD, EAD), collaborate with team members on credit risk models across retail and non-retail portfolios, and oversee the full lifecycle of models.

You will conduct performance analysis, annual reviews, and address any deficiencies identified.

Additionally, you will engage with stakeholders to ensure the correct understanding and implementation of the models within Investec's credit risk framework, with a direct influence on the bank's approach to IRB requirements.

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, back-testing 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 requirement.

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.

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