Quantitative Analyst
Nedbank
- Johannesburg, Gauteng
- Permanent
- Full-time
- Validation of credit risk models and processes - Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
- Subject matter expert - Provide input/assistance in the build and refinement of credit risk models within the business clusters.
- Enhancements to existing models - Independent development of models to assess potential for improvement on existing ones.
- Continuous learning - Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice. Independently develop alternate PD, LGD, EAD models to that currently in use.
- Liaising with the stakeholders - Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.
- Change facilitation - Facilitate improvement in credit risk models and processes.
- Organisational learning - Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
- Documentation - Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board.
- Ad-hoc - Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.
- 1-2 years experience in Retail risk modelling, validation or credit management environment – with a strong preference for AIRB or IFRS 9 modelling
- Advanced Diplomas/National 1st Degrees
- Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.
- Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach
- Statistical or mathematical modelling skills
- Knowledge of IFRS 9 Financial Instruments standard for the calculation of credit impairments is an advantage
- Understanding of credit modelling and rating process
- MS Office, particularly Excel (advanced user)
- SAS and SQL (preferred)