Quantitative Specialist: Credit Impairments

2 weeks ago

Pretoria, South Africa PreBless Group Full time

**ROLE OVERVIEW**

Develops statistical analytical models to analyse the portfolio, including quantitative analysis, probability analysis, regression analysis, migration analysis, etc.

**QUALIFICATIONS AND EXPERIENCE**
- B Degree in Applied Mathematics, and / or Statistics / Accounting
- 3 years experience in Quantitative Analyst in a credit granting environment and in financial markets
- 2-3 years experience in Statistical Software
- SAS Programming/ Statistical software 4
- Microsoft Office 5 & BASEL 3
- IFRS (relevant standards) 4 & Data Analysis 5
- Financial Risk Management Principles

**KEY PORTFOLIO AND PERFORMANCE FOCUS AREAS**
- ** Develop and Runs Impairment (Expected loss) Models**:

- Development and/or implementation of statistical models to implement the IFRS9 Credit impairment models
- Develop diagnostic method to quantify changes in provision due to both external and internal
- Changes to credit risk environment.
- Integration of enterprise wide stress testing requirements into the IFRS9 Credit Impairment model and to determine the potential impact on impairment provisions
- Provides information to both internal and external auditors to ensure their accurate understanding and analysis of the asset portfolio
- Develops statistical analytical models to analyse the portfolio, including quantitative analysis, probability analysis, regression analysis, migration analysis, etc.
- Analyses various segments of the portfolio to determine their impact on the loan loss provisions.
- Provides recommendations to management to help direct future lending activities to mitigate future loan losses.
- Maintain database on defaults and assist in the design, development, implementation, and maintenance of data structures and data extracts to support comprehensive data collection, loading, and extraction for complex analyses.
- Enhancement of Loss Given Defaults (LGD) models (loss database, collateral haircuts)
- Maintain database on SLA partners
- ** General modelling responsibilities**:

- Develops and performs processes for model monitoring.
- Completes testing on model assumptions, theory, empirical evidence, implementation and limitations.
- Perform routine analysis for model performance monitoring and model review, maintaining current model inventory for validation and audit compliance.
- Maintain "overwrite statistics"
- Develop and maintain documentation of procedures and processes
- Maintain thorough technical, procedural, processing, and system knowledge.
- Obtain and conduct data analysis required for stress testing model development.
- Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Banks lending portfolio
- Work with appropriate parties to resolve or remediate data quality issues
- ** General Reporting & Research**:

- Prepare reports and presentations, delivering information for use in Executive level reports and financials
- Write or assist in the drafting of ad hoc and recurring reports.
- Keep current regarding latest industry developments and trends affecting the regulatory environment, banking industry and the organisation.
- Perform ad-hoc analyses as and when needed

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