Ifrs9 Credit Modelling

2 weeks ago

London, United Kingdom 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.

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.

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.

**What are the key responsibilities?**
- The successful applicant will be responsible for hands-on development, maintenance and implementation of PD, LGD, and EAD for IFRS9 purposes. They will be required to have hands-on IFRS9/Credit model development experience in both retail and wholesale banking and experience across multiple asset types or banks.
- Core responsibilities will focused on leading/supporting Model developments (PD, LGD, and EAD) and include the development of models as an end-to-end process. Including 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.
- 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.
- You will be required to proactively engage with Credit and the Business units to support understanding of Credit Models by providing model training and model support.
- Additional responsibilities include providing guidance and support for junior members of the team in the development of Credit Models.
- Engaging with the internal validation team and external auditors, as part of the model validation and review process.
- 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.

**What technical skills are required?**
- A qualification 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.
- Quantitative Problem Solving and Judgements. Ability to analyse, interpret and present complex analytical data, both verbally and in writing.
- Experience in developing practical technical solutions with limited data.
- Experience of working with Low Default Portfolios (LDPs).
- Ability to communicate complex concepts to non-technical audiences and the ability to build strong client relationships.
- Some experience in managing/leading small teams/ providing mentorship for Junior modellers.
- Hands-on experience in programming/coding
- strong programming skills ( Primarily Python, R) and other programming languages are a plus

**What else can you offer?**
- **Capable of communicating complex modelling techniques to non-technical key stakeholders, such as senior executives, group credit and heads of business areas.**:

- **A team player.**:

- **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)**

**What are you good at?**
- 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

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