Credit Modeller

  • Competitive
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Investec Bank plc
  • 07 Aug 18 2018-08-07

Credit Modeller

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.

Technical knowledge

  • 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.

Personal attributes

  • Self-motivating, with the capacity to work independently, as well as within the team framework.

Useful Skills

  • Knowledge of the Financial Industry
  • SQL programming skills.

Other attributes

  • Good presentation and interpersonal skills as the role will involve interaction with senior people