Quantitative Analyst

2 weeks ago

Johannesburg, Gauteng, South Africa Nedbank Full time

Requisition Details & Talent Acquisition Contact

  • REQ Tshego Semenya
  • Location: Johannesburg
  • Closing date: 17 April 2024
    Cluster
  • Group Risk
    Career Stream
  • Quantitative

Leadership Pipeline

  • Manage Self: Professional

Position

  • Quantitative
Analyst
Job Purpose

  • The validation of the models used for the calculation 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.

Responsibilities:

  • The role provides indepth exposure to the bank's 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 bank's internal and external auditors.

Deliverables

  • 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.
  • 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.


 Adhoc
  • Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.
  • Minimum Experience Level 12 years experience in Retail risk modelling, validation or credit management environment with a strong preference for AIRB or IFRS 9 modelling


 Essential Qualifications
  • NQF Level
  • Advanced Diplomas/National 1st Degrees


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

Technical / Professional Knowledge

  • 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)

Disclaimer

_Please contact the Nedbank Recruiting Team at _
- **_Please contact the Nedbank Recruiting Team at _

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