IRB Credit Modeller

Are you ready to make a meaningful impact in credit risk modelling? In this role, you will play a crucial part in developing and refining credit risk parameters while collaborating with a diverse team to enhance models for both retail and non-retail portfolios.

What Will You Be Doing?

• Model Development: You will be responsible for developing and improving IRB credit risk parameters (PD, LGD, EAD) and managing the entire lifecycle of models, from initial scoping to governance approval.
• Performance Reviews: Conduct annual reviews to ensure model accuracy and reliability. You will also research best practices for quantifying credit risk in accordance with the UK PRA's Basel 3.1 IRB standards.
• Collaboration: Work closely with colleagues across various teams to ensure effective implementation and use of models within Investec's credit risk framework.

What We're Looking For:

• Educational Background: A Bachelor's or Master's degree in a quantitative field (e.g., Maths, Physics, Engineering, Economics) with strong academic performance.
• Experience: Practical experience in developing PD and LGD models within IRB regulatory frameworks, along with proficiency in SQL or Python.
• Analytical and Communication Skills: Strong analytical abilities and effective communication skills are essential for creating high-quality documentation.

Are You Ready to Thrive?

Do you want to be part of a collaborative environment where everyone's contributions are valued? Are you passionate about credit risk modelling and eager to deepen your understanding of the regulatory landscape? If this resonates with you, we invite you to apply and join our innovative team at Investec!