Senior Analyst Model Validation

Join to apply for the Senior Analyst Model Validation role at Absa Group

Job Summary

As a Senior Analyst within the team, the expectation will be to perform and review model validations in accordance with the model risk policy, take on a team / project lead role and be accountable for the delivery of work by junior members of the team. Offer technical and professional guidance to ensure growth and development to junior team members.

Within validation the incumbent will conduct validations on a diverse range of AGL models, produce validation reports, negotiate the findings & actions with internal and external stakeholders and influence the continuous improvement of model quality & use. These areas make use of a wide range of models (Regulatory Capital, Economic Capital, impairments, pricing, behavioural, application, stress‑testing, valuation, derivatives, insurance risk, etc.) and cover products used across all of AGLs business units.

Within monitoring the incumbent will conduct model performance monitoring on a wide range of AGL models (Regulatory Capital, Impairments, Behavioural scorecards, Application scorecards and Credit decisioning) and cover products used across all of AGLs business units, produce monitoring reports and engage with internal and external stakeholders on the output thereof. Work closely with the validation teams, as the monitoring analyses constitute critical inputs into the periodic validation process.

This role is ideal for a candidate that wants to develop multi‑dimensional skillset, is looking for a role that provides great visibility within the firm and wants to be in a position that will promote big‑picture strategic thinking.

Job Description

Accountability : Model validation / monitoring (75%)

• Execute validation / monitoring of models assigned to you by following each step in accordance to the IVU process. Specifically, ensure that all information required for the validation / monitoring is available on time, as received from Model Owner (MO) and / or Model Development (MD).
• Ensure submission and completion milestones have been communicated to relevant stakeholders for the models assigned to you.
• Complete assigned models on time according to the IVU planning schedule.
• Use agreed templates and tools.
• Validate / monitor models in accordance to internal and external requirements (e.g. as set out in the Group Model Risk Policy – GMRP and associated standards, Basel regulations, Prudential Authority – PA regulations long‑forms, IFRS9, etc.).
• Strive for a computationally accurate analysis which does not require recalculation as part of management review.
• Strive to produce a quality report requiring minimum corrections as part of management review. Ensure the report is palatable for the intended audience.
• Clearly document model recommendations / findings and relevance thereof to model use and portfolio decision making. Agree resolution actions and resolution timelines with affected counterparties and document these in the report. Focus on significant findings and minimize the number of significant findings missed as part of the process.
• Ensure that all findings that are resolved are evidenced and that you have checked and recorded as such.
• Give input into the following processes : Annual PA Self‑Assessment, Long Form Audits, etc.
• Deliver ad‑hoc and management requests timeously and to the required standard of quality.
• On occasion supervise / assist less experienced analysts (AVPs) to ensure timeous and quality delivery of validation outputs and offer technical and professional guidance.

Accountability : Management of Stakeholder Relationships (15%)

Accountability : Development of Technical and Product Knowledge (10%)

Education

Postgraduate Degrees and Professional Qualifications : Actuarial Science (Required), Postgraduate Degrees and Professional Qualifications : Risk Management, Postgraduate Degrees and Professional Qualifications : Statistics (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.

Absa Bank Limited reserves the right not to make an appointment to the post as advertised.

#J-18808-Ljbffr