Quantitative Analyst

Dillon Snyman

Quantitative analyst with several years of experience in Basel IRB and IFRS 9 credit risk modelling, spanning both banking and consulting. In my free time, I build full-stack applications that bring quantitative methods to life.

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About

I have several years of experience in credit risk management and quantitative analytics within Retail, Retail SME and Wholesale, servicing both regulatory capital (Basel IRB) and impairments (IFRS 9). My core focus is the development, maintenance and monitoring of PD, LGD and EAD models across secured and unsecured lending products.

Prior to working as a consultant in the credit risk space, I worked in the banking sector as part of a capital and impairment model development team, gaining hands-on experience across a wide range of portfolios.

Outside of core credit risk work, I build serverless and full-stack applications using Python, React, TypeScript and AWS - combining quantitative modelling, clean data workflows, cloud architecture and accessible user interfaces.

I hold an MSc in Mathematics, BSc Honours in Mathematics, and BSc in Mathematics & Applied Mathematics.

Experience

2024 - Present

Manager - Quantitative Advisory Services (Credit Risk)

Big 4 Consulting - London, United Kingdom

  • Leading credit risk model development and remediation engagements for major UK and European banking clients
  • Managing workstreams across IRB and IFRS 9, covering PD, LGD and EAD for Retail, Retail SME and Wholesale portfolios
  • Independently leading IRB model inspection support, preparing and presenting model documentation to regulators and addressing supervisory findings
  • Overseeing delivery of regulatory responses and model enhancements to resolve inspection outcomes
  • Direct line management responsibility, including performance development, career coaching and day-to-day guidance of team members
  • Mentoring and upskilling junior staff across quantitative modelling, technical tools and client delivery

2023 - 2024

Senior Consultant - Quantitative Advisory Services (Credit Risk)

Big 4 Consulting - London, United Kingdom

  • Key role in multiple projects for major banking clients within IRB and IFRS 9
  • Collaborated closely with clients on various streams of model development, addressing and resolving key regulatory obligations and findings
  • Contributed to internal learning and development by developing and presenting training sessions on Basel IRB modelling
  • Independently created and delivered technical training sessions on SAS, upskilling junior team members

2017 - 2023

Quantitative Analyst - Capital & Impairment Model Development

Major Bank - Johannesburg, South Africa

  • Developed, maintained and monitored PD, EAD and LGD models for Basel IRB regulatory capital and IFRS 9 impairments
  • Portfolio coverage across Home Loans, Vehicle & Asset Finance, Term Loans, Revolving Credit, Overdraft, Credit Card, Diners Club, Pension-Backed Lending and Wholesale Finance/Invoice Discounting, spanning Retail, Retail SME and Wholesale
  • Developed IFRS 9 models for subsidiaries across multiple African countries (Lesotho, Ghana, Namibia), responsible for development, maintenance and monitoring
  • Owned monthly data testing process, delegating and overseeing data completeness and accuracy checks across portfolios
  • Generated monthly restructure monitoring lists to ensure compliance with local regulations
  • Oversaw regulatory capital estimate update process, collating portfolio impacts, writing committee documents and ensuring implementation
  • Maintained the Model Risk Rating System Register tracking all regulatory capital models in use
  • Developed model scenarios and simulations for provision overlays and regulatory capital buffers for finance and portfolio stakeholders
  • Performed inter-update model monitoring to identify trends and quantify impacts for stakeholder planning

2017

Junior Analyst - Audit Analytics

Big 4 Consulting - Port Elizabeth, South Africa

  • Data manipulation and analysis using Excel, SAS and Microsoft SQL
  • Performed reconciliations to verify dataset completeness and carried out data quality checks
  • Managed a portfolio of engagement teams to ensure accuracy and efficiency
  • Assisted and guided audit teams with data extraction from client systems
  • Troubleshot issues using the SQL backend

Skills

Domain Expertise

PD / LGD / EAD ModellingBasel IRBIFRS 9Model Monitoring & ValidationIRB Inspection SupportRegulatory RemediationCapital Estimate UpdatesProvision OverlaysStress TestingForward-Looking AdjustmentsCredit Scorecard Development

Professional

Stakeholder EngagementClient DeliveryLine ManagementTraining & MentoringTechnical DocumentationRegulatory CommunicationCross-border DeliveryCommunicationTeam WorkProblem SolvingAnalytical ThinkingTime Management

Programming Languages

PythonRSQLTypeScriptJavaScriptC++C#JavaSASMATLABMathematicaVBABash

Frameworks & Libraries

ReactViteFastAPIPandasNumPySciPyscikit-learnPydanticRechartsJupyter

Databases

PostgreSQLMySQLDynamoDBMongoDBRedisSnowflake

Cloud & Infrastructure

AWS LambdaAPI GatewayS3CloudFrontEC2RDSCloudWatchStep FunctionsTerraformDockerGitHub Actions

Tools

GitGitHubVS CodePostmanLinuxQlikViewPower BI

Language Proficiencies

English (Native)Afrikaans (Native)Mandarin Chinese (Beginner)

Personal Projects

Full-stack applications deployed on AWS with CI/CD via GitHub Actions.

Options Pricer & Greeks Dashboard

Prices European, American and barrier options using Black-Scholes, binomial trees and Monte Carlo. Full Greeks sensitivity, IV smile, barrier path simulation and P&L heatmap.

PythonRC++MATLABFastAPINumPySciPyReactTypeScriptRechartsViteDockerTerraformAWS
SourceLive demo

VaR & Market Risk Dashboard

Calculates single-asset Value at Risk and Expected Shortfall using historical, parametric and Monte Carlo methods side-by-side, with backtesting and path simulation.

PythonRC++MATLABSASFastAPINumPySciPyPandasReactTypeScriptRechartsViteDockerTerraformAWS
SourceLive demo

IFRS 9 ECL Calculator

Classifies a loan portfolio into IFRS 9 stages and calculates Expected Credit Loss at loan and portfolio level. CSV upload, staging charts and filterable loan table.

PythonFastAPIPandasReactTypeScriptRechartsViteDockerTerraformAWS
SourceLive demo

IRB RWA / Capital Calculator

Calculates Basel IRB risk-weighted assets, Pillar 1 capital requirements and regulatory expected loss across retail and corporate exposure classes.

PythonFastAPIPandasReactTypeScriptRechartsViteDockerTerraformAWS
SourceLive demo

MAPA PD Calibration

Reference implementation of the Monotone Adjacent Pooling Algorithm for turning empirical bad rates into a monotone score-to-PD calibration curve. Supports number- and value-weighted observations.

PythonRC++MATLABSASFastAPIReactTypeScriptRechartsViteTerraformAWS
SourceLive demo

Contact

Feel free to reach out if you would like to connect.

dillon.j.snyman@gmail.com