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Team descriptionThe 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 knowledgeTechnical 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 plusSoft 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;
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