Senior Specialist: Model Validation

• To be responsible for technical review and validation of models used within the organisation, especially machine learning models, ensuring appropriate model governance and model risk management processes and standards are in place in order to manage model risk and improve and optimise model methodologies and usage.

• 5+ years working experience in data science, machine learning and integration of developed solutions.
• Able to design and deliver end-to-end on all but the most complex ML projects without supervision
• Predictive modelling techniques (statistical and machine learning) and deployment
• Data mining and predictive modelling
• Experience in a wide range of model types.
• Having own model reviewed and validated, or validating models
• Presenting and defending findings to model developers and senior management

• In a banking environment
• Acting as the subject matter expert and holding accountability for the reviewing and validation of machine learning models.
• Model governance, model risk management and model risk aggregation experience.

• Bachelor's Degree in Statistics or Data Science

• Honours Degree in Statistics or Data Science

• Predictive financial modelling techniques (theoretical and practical)
• IFRS 9 provision modelling (EAD, PD, LGD, etc)
• Basel Credit Risk regulatory capital modelling (IRB and standardised approach)
• Database querying (e.g. SQL)
• Advanced Microsoft Excel (including VBA)
• Understanding of technical analytical/modelling issues and the impact these may have on other models,
• strategies, decisions and areas
• Relevant experience in a retail bank

• Knowledge and understanding of:
• Predictive financial modelling techniques (theoretical and practical)
• Credit pricing modelling
• IFRS 9 provision modelling (EAD, PD, LGD, etc)
• Basel Credit Risk regulatory capital modelling (IRB and standardised approach)
• Basel Market Risk regulatory capital modelling (FRTB)
• Basel Counterparty Credit Risk regulatory capital modelling (SACCR, CVA)
• Basel Operational Risk regulatory modelling
• Economic Capital modelling (Credit Risk, Operational Risk, Market Risk)
• Quantification of Model Risk for Economic Capital
• Budgeting and Forecasting modelling
• Statistical software (e.g. Python)
• Database querying (e.g. SQL)
• Advanced Microsoft Excel (including VBA)
• Understanding of technical analytical/modelling issues and the impact these may have on other models,
• strategies, decisions and areas
• Relevant experience in a retail bank
• Relevant experience in a business bank

• Analytical Skills
• Computer Literacy (MS Word, MS Excel, MS Outlook)
• Commercial Thinking Skills
• Attention to Detail
• Numerical Reasoning skills
• Communications Skills
• Strategic Thinking Skills
• Programming skill (SAS, SQL, R, Python)

• Clear criminal and credit record
• A valid driver's license and own vehicle is required

Capitec Bank