IRB Credit Modelling Specialist

2 weeks ago

London, Greater London, United Kingdom Investec Full time

About Us: At Investec, our IRB Credit Modelling team is dedicated to developing and refining PD, LGD, and EAD models across our diverse portfolios. We strive to ensure 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.

Key Responsibilities:

  • Model Development: Develop and refine IRB credit risk parameters (PD, LGD, EAD) and collaborate on 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, calibration, backtesting, and performance analysis to ensure model accuracy and reliability. Address and resolve any deficiencies.
  • 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, and support functions to ensure proper understanding, use, and implementation of the models within Investec's credit risk framework.

Core Skills and Knowledge:

  • Educational Background: Bachelor's/Master's degree in highly quantitative subjects (Maths, Physics, Engineering, Economics, etc).
  • Modelling Experience: Hands-on experience in developing PD and LGD models, preferably within IRB and stringent regulatory frameworks such as EBA or PRA.
  • Coding Proficiency: Proficiency in SQL and either SAS or Python, with a strong willingness to learn Python if not already proficient.
  • Analytical Acumen: Exceptional analytical abilities, with a talent for interpreting complex data and presenting findings clearly to diverse audiences.
  • Continuous Learning: Strong interest in mastering credit risk models and understanding the UK's IRB regulatory environment.
  • Communication and Documentation: Ability to prepare high-quality documentation and communicate clearly and persuasively in both written and verbal forms.
  • Soft Skills: Ability to work effectively both independently and as part of a team. 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.

Wellbeing

Wellbeing Subsidy, Corporate Gym Membership, Virtual GP, Peppy Health App (Fertility, Menopause and Early Parenthood), Optional Private Medical & Dental Insurance

Monetary

Non-contributory Pension & Discretionary Bonus

Life & Income Protection

Life Assurance, Critical Illness & Income Protection

Travel

Season Ticket Loan & Electric Vehicle Scheme

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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