Description

The overriding objective of the role will be to deliver best-in-class model development governance, frameworks, processes and model suite to ensure that the model development function effectively supports Investec Bank Limited through the accurate quantification of capital demand, both regulatory and internal.

Responsibilities:

• Define the strategic vision and roadmap for the modelling of regulatory and economic credit risk capital.
• Lead and mentor a high-performing team of risk model developers and quantitative analysts, fostering a collaborative environment and promote continuous professional development within the team.
• Develop, maintain and implement a comprehensive regulatory and economic credit risk capital model development framework in line with the Prudential Authority's (PA) regulatory requirements, internal policies and industry best practices.
• Ensure appropriate design and development of credit risk models, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and credit portfolio models.
• Partner with key stakeholders across Investec to ensure alignment of model design and performance with business objectives and capital management strategies.
• Remain at the forefront of the latest developments in credit risk modelling (both internal and regulatory), the regulatory landscape, and industry best practices. 
• Be a trusted advisor and sounding board on regulatory matters by supporting Investec.
• In partnership with the independent model validation function, confirm models continue to perform as expected and/or address known model design or performance deficiencies.  
• Provide guidance, data and analysis of exceptional quality, relevance and insightfulness, enabling business-critical decisions with complete confidence.
• Collaborate with the IFRS 9 model development team to ensure regulatory credit risk models remain appropriate inputs to IFRS 9 Expected Credit Loss estimates.
• Engage and collaborate with Credit Risk, Finance and Business Units to integrate credit risk models with overall risk management frameworks and capital planning processes. 
• Actively contribute to the maintenance of a rigorous governance framework that oversees Model risk, including model development, documentation, validation, and use.
• Collaborate with IT and data teams to ensure efficient model implementation, data quality, and system integration.
• Actively contribute to the development of stress testing and scenario analysis frameworks for credit risk, ensuring the models can assess the impact of adverse economic conditions on the credit portfolio.
• Be a champion for Investec's culture and values, ensuring you imbue your team with Investec's ethos, and that all decisions, whether business, people-related or otherwise, are informed by it.

Experience, skills and capability

• Advanced degree in a highly quantitative field such as Economics, Mathematics, Statistics, or Engineering,  with strong academic performance.
• 10+ years' experience in credit risk modelling teams is essential.
• Proven leadership experience in managing teams, projects, and cross-functional collaboration.  
• Proven experience of leading an organisation through transformational change is key for this role.  
• Strong background in risk modelling, statistical analysis, and programming languages (e.g., Python, R, SAS, MATLAB, C++).
• Strong understanding of statistical modelling for portfolios across different types for risks in retail and commercial books, capital (both regulatory and economic), provisioning and stress testing.
• Strong understanding of regulatory requirements, especially in the context of IRB approach for credit risk is essential.
• Extensive knowledge of the end-to-end model lifecycle, including different model uses and required controls for implementation.
• Self-motivated, capable of working both collaboratively and independently
• Strong communication skills (written, verbal & presentation skills).
• Willingness to learn and adapt to change quickly.
• Professional certifications such as FRM, CFA, or PRM are a plus.
• Experience with version control tools such as GitHub or Azure DevOps or cloud-based platforms such as Azure or willingness to learn

Investec Culture 

At Investec we look for intelligent, energetic people filled with passion, integrity and curiosity. We value individuals who in turn value our culture that is, a flexible attitude comfortable to live with ambiguity and willing to challenge the status quo. Diversity, talent and leadership are respected in pursuit of the growth of our business. People who can manage themselves and build strong relationships in order to get things done, will perform in out of the ordinary ways in our environment. 

We are committed to diversity and inclusion when recruiting internally and externally.