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Senior Quantitative Analyst : Retail Model Validation

Senior Quantitative Analyst : Retail Model Validation

NedbankJohannesburg, Gauteng, South Africa
1 day ago
Job description

Senior Quantitative Analyst : Retail Model Validation

Nedbank

Location : Johannesburg

Closing Date : 4 November

Job Purpose

The validation of the models used for the calculation of regulatory and economic capital as well as credit impairments and the rating processes. This is to contribute to the goal of best practice models in line with regulations and accounting standards (where applicable) in order to facilitate world class risk management.

Job Responsibilities

  • Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
  • Provide input in the build and refinement of credit risk models within the business clusters.
  • Conduct independent research, analysis and testing on credit risk models.
  • Provide strategic insights through portfolio analytics and reporting.
  • 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 and independently develop alternate PD, LGD, EAD models to that currently in use.
  • Automate and streamline analytical processes for efficiency.
  • Liaise with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised; prepare and present reports to senior management.
  • Facilitate improvement in credit risk models and processes.
  • Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
  • 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.
  • Assisting management with various ad‑hoc tasks, reports, specific deep dives, SARB communication and analysis.
  • Upskill and train junior team members and graduates.

Essential Qualifications - NQF Level

  • Honours degree in Statistics / Mathematics / Econometrics / Finance / Actuarial Science or related quantitative discipline.

    • Minimum Experience Level

  • 5+ years’ experience in Retail risk modelling, validation environment – with a strong preference for AIRB or IFRS 9 modelling.
  • 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.
  • Python or R skills would be an added advantage.

    • Technical / Professional Knowledge

  • Industry trends.
  • Microsoft Office.
  • Principles of project management.
  • Relevant regulatory knowledge.
  • Relevant software and systems knowledge.
  • Risk management process and frameworks.
  • Business writing skills.
  • Microsoft Excel.
  • Business Acumen.
  • Quantitative Skills.

    • Behavioural Competencies

  • Applied Learning.
  • Coaching.
  • Communication.
  • Collaborating.
  • Decision Making.
  • Continuous Improvement.
  • Quality Orientation.
  • Technical / Professional Knowledge and Skills.

    • Contact Information

    Please contact the Nedbank Recruiting Team at .

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    Quantitative Analyst • Johannesburg, Gauteng, South Africa