Quantitative Analyst at Investec Asset Management

About the Job
Hiring resources in South Africa to perform model validation functions for Investec UK specifically:

• Validation of point-in-time Probability of Default (PD), Exposure At Default (EAD) and Loss Given Default (LGD) for calculation of impairments under IFRS 9
• Validation of stress-testing and scenario models for credit risk
• Work with model development team to identify and correct any shortcomings identified during model validation
• Refinement of the model validation framework including processes and methodologies
• Potential to be involved in a project to adopt the IRB approach for Credit Risk capital from inception through to Regulatory application specifically focusing on Validation of capital related Probability of Default (PD), Exposure At Default (EAD) and Loss Given Default (LGD) models across multiple portfolios including both retail and wholesale