Senior Quantitative Analyst Retail Model Validation

Requisition Details & Talent Acquisition Consultant

REQ Thembi Mtshali

Location : Johannesburg

Closing Date : 4 November

Job Family : Investment Banking

Career Stream : Quantitative

Leadership Pipeline : Yes

Manage Self : Professional

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

The role provides in-depth exposure to the banks credit risk measurement models used for the calculation of regulatory and economic capital as well as credit impairments. Your work will be focused on Retail credit models and you will be required to interact with senior modellers on a regular basis. The role offers high visibility as analyses and reports will be tabled at board level committees the South African Reserve Bank (SARB) and the banks internal and external auditors.

The validation function assures the Board the external auditors of the bank and SARB of the high standard and regulatory compliance of the credit risk models the rating processes and IFRS 9 impairment models. You will be required to provide constructive challenge to business and recommend improvements to models as a subject matter technical expert.

The ideal candidate will blend excellent communication report writing project management and general credit knowledge with solid technical expertise. Developing challenger models assisting Nedbank to optimise the number of credit models and developing your business knowledge will take the team to the next level.

Your analyses and reports are presented at Nedbank Group Board committees the SARB and the banks internal and external auditors offering high visibility across the organisation. The divisional culture emphasises development especially of leadership and behavioural skills as well as embracing psychological safety. The team will focus on automation machine learning and expansion into new areas such as credit risk loss forecasting credit stress testing and anti-money laundering during the medium term. This provides opportunities for development and establishing an organisation wide reputation for the ambitious candidate.

Job Responsibilities (continued)

• 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. Independently develop alternate PD LGD EAD models to that currently in use.
• Automate and streamline analytical processes for efficiency
• 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.
• 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

Minimum Experience Level

Technical / Professional Knowledge

Behavioural Competencies

Disclaimer

Preference Recruiting Team atwill be given to candidates from the underrepresented groups

Employment Type : Full Time

Vacancy : 1

Experience : years

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