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.
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. I have experience in leading IRB model development and regulatory inspection workstreams for major banking clients, including presenting in high-stake face-to-face regulatory meetings and coordinating responses to supervisory queries.
I have experience training and onboarding team members across multiple product lines, and have contributed to firm-wide thought leadership on regulatory topics such as CRR3/Basel III and EBA guidelines. I have a particular interest in automation and Gen-AI, and enjoy building tools that improve efficiency in model development workflows.
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)
EY - London, United Kingdom
- Modelling lead across multiple major IRB projects for a large European banking client, covering end-to-end model development, deployment and validation query resolution.
- Key member in a PD model submission, leading a team through development, deployment and addressing validation queries, including direct interaction with senior model risk stakeholders.
- Led regulatory inspection support, supervising a team to respond to 300+ supervisory queries under 48-hour turnaround deadlines, closing with no high-severity findings.
- Presenting in high-stake face-to-face regulatory meetings, leading a team of up to 5 members on ongoing inspection workstreams.
- Entrusted by senior client leads to coordinate and lead inspection communications, reflecting strong stakeholder trust.
- Trained close to 20 new team members to prepare them for model development across multiple product lines, recognised for subject matter expertise and technical strength.
- Developed an automation tool that reduced model development trial time from 12-14 hours to approximately 2 hours per model set.
- Leading the development of a Gen-AI prototype for a model oversight investigative engine.
- Enhanced an internal model calibration tool to incorporate additional critical tests including yearly heterogeneity and concentration tests.
- Contributed to a firm-wide thought leadership paper on EBA guidelines, focusing on regulatory comparison with CRR3/Basel III.
- Direct line management responsibility, including performance development, career coaching and day-to-day guidance of team members.
2023 - 2024
Senior Consultant - Quantitative Advisory Services (Credit Risk)
EY - 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
Standard 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
Deloitte - 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
Professional
Programming Languages
Frameworks & Libraries
Databases
Cloud & Infrastructure
Tools
Language Proficiencies
Personal Projects
Full-stack applications deployed on AWS with CI/CD via GitHub Actions. All projects are personal and use synthetic data, simulated examples or publicly available sources. Nothing here reflects the work, data or intellectual property of any employer or client.
Credit Risk
Scorecard Builder
Interactive tool for building credit risk scorecards from raw data. Covers the full pipeline from factor screening, WoE/IV computation, factor clustering, logistic regression, PDO scaling through to a final points-based scorecard with audit trail.
MAPA PD Calibration
Reference implementations and interactive demo of the Monotone Adjacent Pooling Algorithm for PD calibration, with step-by-step pipeline animation for transparency, validation and audit.
LGD Estimation
Estimates Loss Given Default with configurable methodology, segmentation and calibration options. Supports workout, market-based and implied-market approaches, cure rate modelling, collateral haircuts and optional downturn LGD adjustment for IRB.
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.
Counterparty Credit Risk
CVA & Counterparty Risk Engine
Monte Carlo CVA engine over a netting set of IR swaps and FX forwards. Simulates correlated Hull-White rates and GBM FX paths, prices trades analytically at each time step, and computes EE, PFE-95, EPE and per-trade CVA attribution via incremental CVA.
Market Risk
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.
FX Exposure & Hedging Dashboard
Calculates FX portfolio exposure, models forward hedging via covered interest rate parity, computes currency-level VaR using historical simulation and variance-covariance methods, and measures hedge effectiveness using dollar-offset and regression analysis.
Derivatives
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.
FX Volatility Surface Builder
Builds and visualises FX implied volatility surfaces from delta-space market quotes, prices FX options using Garman-Kohlhagen with six Greeks, and analyses risk reversals and butterfly spreads across tenors and interpolation methods.