IFRS9 Model Development Quant at Investec

Description


The team is responsible for developing and implementing all the IFRS 9 impairment and stress testing models, including climate stress testing. This is an excellent opportunity to get exposure to both retail and wholesale models. Model automation is a key focus area for the team. Strong programming skills and a background in machine learning would be helpful.


Experience, skills and capability


A full understanding of the IFRS 9 impairment requirements.
Research and implement new algorithms to automate model development.
Develop IFRS 9 probability of default (PD) and loss given default (LGD) models.
Consider approaches to incorporate climate risk into the models.
Build relationships and liaise with key stakeholders from Business, Risk, Finance and Economics.
Understand the synergies between IFRS 9 and stress testing models; and develop/enhance the stress test models.
Work with the IT team to implement and test the models.
Prepare model development documentation.
Ensure a proper audit trail of all the analyses performed to assist the model validation team that must independently review all models.
Monitor and backtest the performance of the models over time.
Ensure stakeholder buy-in by preparing and presenting the models at various forums.


Qualifications


A degree in Computer Science / Mathematics / Statistics / Econometrics / Engineering
Strong Programming experience in Python
Experience in a model development or validation environment required.
Strong communication skills with the ability to articulate quantitative concepts to both technical and non-technical stakeholders.
Critical analytical thinking and problem-solving skills.
Mathematically inclined.