Job description

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  • Location:
    London - 30 Gresham Street
  • Department:
    Risk UK
  • Division:
    IBP Risk & Compliance
  • Employment Type:
    Full time
  • Salary:
    Competitive

Senior Credit Modeller (5496)

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.

Research shows that some candidates can be reluctant to apply to a role unless they meet all the criteria. We pride ourselves on our entrepreneurial spirit here and welcome you to do the same – if the role excites you, please don't let our person specification hold you back. Get in touch!

Team Description

The Credit Modelling Team is responsible for the development and implementation of credit models for capital calculation and 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 will my role entail?

 

  • Responsible for hands-on development, maintenance and implementation of PD, LGD, EAD and slotting models for both IRB and IFRS9 purposes. Minimum 5+ years of hands-on IRB model development experience in both retail and wholesale banking. Experience across multiple asset types or banks is desirable.
  • Core responsibility is focused on leading IRB Model developments (scorecards, PD, LGD, and EAD, Slotting models)includes: 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.
  • As an experienced member of the team the role plays a pivotal role in defining the modelling strategy and methodologies used across Investec's credit risk models. The Modelling Team will also benefit from your knowledge and experience to strengthen internal processes as well as skills of other members of the team.
  • Develop models and produce documentation in line with Basel and PRA IRB modeling requirements.
  • Proactively engage with Credit and the Business units to support understanding of Credit Models by providing model training and model support.
  • Provide guidance for junior members of the team in the development of Credit Models.
  • 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.

What core skills and knowledge do you look for?

 

Technical 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.
  • Minimum 5+ years of model development experience of PD, LGD, and EAD models, including strong understanding and application of PRA and Basel Regulatory requirements for Credit Model (scorecards, PD, LGD, EAD, slotting models)
  • Extensive practical experience with predictive modeling / advanced modeling experience in Python & R. Experience in alternative languages such as SQL, SAS or Matlab will be considered.
  • Experience in submitting models for regulatory approval and dealing with regulators is desirable.
  • 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).
  • 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 modelers (a plus)
  • Hands-on experience in programming/coding– strong programming skills ( Primarily Python, R) other programming languages are a plus

Soft Skills:

  • Significant experience in communicating complex modelling techniques to non-technical key stakeholders, such as senior executives, 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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Location
London - 30 Gresham Street
30 Gresham Street, London, England, GB, EC2V 7QN
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Meet the recruiter

Dawn Ermes

LinkedIn

We commit to ensure that everyone is fairly assessed during our recruitment process.

Let us know if you need any reasonable adjustments to complete your application.

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Benefits

Pension
Private Medical Cover
Virtual GP
Gym Discounts
Psychologist Service
Annual Leave
Life Assurance
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