IRB Credit Modeller (Wholesale / Mortgages)

What you will be doing: Develop and refine IRB credit risk parameters (PD, LGD, EAD) and collaborate with team members in the development of credit risk models across retail and non-retail portfolios. Model management: Oversee the full lifecycle of models, including scoping, data review, stakeholder engagement, documentation, and governance approval Performance analysis: Conduct annual reviews of models, calibration, backtesting models and performance analysis to ensure accuracy and reliability. Address and resolve deficiencies identified from this process. Continuous learning: Research, design and implement best practice methodologies for quantifying credit risk in line with UK PRA's Basel 3.1 IRB standards and supervisory requirements. Stakeholder Engagement: Collaborate closely with Credit and the Business and support functions to support the correct understanding, use, implementation of the models within Investec's credit risk framework. Core skills and knowledge What we are looking for: Educational background: Bachelor's/Master's degree in highly quantitative subjects (Maths, Physics, Engineering, Economics, etc) with excellent academic records. Years of experience - 8 to12 yrs Modelling experience: Substantial experience – such as project or team lead – estimating IRB parameters for mortgages or wholesale portfolios in line with PRA (preferred) or EBA regulation. Coding proficiency : Demonstrate coding proficiency ideally in SQL or Python (or show strong willingness to acquire this skills) Analytical acumen: Exhibit exceptional analytical abilities, with a talent for interpreting complex data and presenting findings clearly to diverse audiences Continuous Learning: Display strong interest in mastering credit risk models and understanding the UK's IRB regulatory environment. Communication and documentation: Prepare high-quality documentation. Communicate clearly and persuasively in both written and verbal forms. Soft skills: Work effectively both independently and as part of a team. Show a readiness to learn and adapt swiftly to new challenges.