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.