- London, England, United Kingdom London England GB
- Permanent, Full time
- Investec Bank plc
- 07 Aug 18 2018-08-07
Description of role and key responsibilities
- Supporting the development and prototyping of methodologies for calculating PD, LGD, EAD and other Credit Models, taking cognisance of the requirements of Basel III A-IRB methodology and PRA Supervisory statements.
- Supporting the development of IFRS 9 PD, LGD, EAD and Behavioural Profile/Maturity models.
- Coding of Models into MatLab/ R for development and Production purposes.
- Ad-Hoc Analysis to support Model Approval and Model Reporting.
- Assisting the team business analyst with the rollout, training and implementation of the models within credit and the business
- Validation, calibration and back testing of the above models
- Documentation of the methodology, process and techniques used in models developed
- Supporting the development, prototyping and implementation of portfolio risk metrics and models.
- Research, design and implementation of best practice methodologies for quantifying credit risk
- Working as part of a team, as well as a remote team, and in conjunction with Business Units.
- Keeping up to date with the latest Market and Regulatory Developments
Core skills and knowledge
- To act with integrity at all times and embrace the philosophy of treating our customers fairly.
- A reasonable level of computer programming skills, e.g. MatLab, R or Python.
- Proficient in Excel and Microsoft Office
- A statistical, mathematical, Science, financial maths or econometrics background.
Skills and how they are applied
- Analytical skills: Quantitative Problem Solving.
- Strong technical documentation skills.
- Strong communication and presentation skills.
- Self-motivating, with the capacity to work independently, as well as within the team framework.
- Knowledge of the Financial Industry
- SQL programming skills.
- Good presentation and interpersonal skills as the role will involve interaction with senior people