Quantitative Analyst

1 month ago

Johannesburg, Gauteng, South Africa Nedbank Full time
Requisition Details & Talent Acquisition Consultant

REQ Tshego Semenya

Location: Johannesburg

Cluster

Group Risk

Career Stream

Quantitative

Leadership Pipeline

Manage Self: Professional

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.
  • The role provides in-depth 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 Wholesale credit models and you will be required to interact with senior modellers on a regular basis
  • 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
Job Responsibilities

The role provides in-depth 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 Wholesale 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.

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 bank's 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.

Deliverables
  • Validation of credit risk models and processes - Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
  • 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.
  • Continuous learning - 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.
  • 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.
  • Ad-hoc - Assisting management with various ad-hoc tasks, reports, specific deep dives, SARB communication and analysis.
Essential Qualifications - NQF Level
  • Advanced Diplomas/National 1st Degrees
Preferred Qualification
  • Post graduate degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline., CFA/ FRM/CQFat
Minimum Experience Level
  • 1-2 years experience in Wholesale risk modelling, validation or credit management environment - with a strong preference for AIRB or IFRS 9 modelling.
Type of Exposure
  • Analysing situations or data that requires an in depth evaluation of multiple factors
  • Developing ways to minimize risks
  • Influencing stakeholders to obtain buy-in for concepts and ideas
  • Sharing information in different ways to increase stakeholders understanding
  • Executing strategy
  • Working with a group to identify alternative solutions to a problem
  • Interacting with diverse people
  • Building and maintaining effective relationships with internal and external stakeholders
  • Analysing and interpreting quantitative and qualitative data
  • Managing multiple projects
Technical Competencies
  • 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 VBA (preferred)
Professional Knowledge
  • Business Acumen
  • 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
  • Quantitative Skills
Disclaimer

Preference will be given to candidates from the underrepresented groups

Please contact the Nedbank Recruiting Team at

Please contact the Nedbank Recruiting Team at

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