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Senior Assistant Vice President
Fa Ewjt Saasfaprod1 · Haryana, India
About The Role
- 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.
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