Senior Quantitative Analyst

2 weeks ago

Johannesburg, South Africa Nedbank Full time

**Job Title: Senior Quantitative Analyst - Credit Risk Assurance**
- Are you a smart, driven, curious and collaborative quantitative analyst? Leverage your deep, technical credit risk knowledge to deliver lasting value in this challenging Group Risk role. You will be exposed to all aspects of credit risk across the Group, and you will provide assurance that the models, processes, data, and credit risk metrics are accurate and fit for purpose, while enhancing the functioning of the Credit Risk Assurance team. You will get your hands dirty while solving problems and will use your powers of persuasion to ensure that Nedbank develops and maintains world-class risk management capabilities.**Requisition Details & Talent Acquisition Consultant**
- REQ 131110 - Tshego Semenya- Job Family- Investment Banking
- Career Stream- Quantitative
- Leadership Pipeline- Manage Self: Professional

**Job Purpose**
- To provide assurance on, insight into, and optimisation of, bank-wide credit risk models, reporting, impairments and credit RWA. To perform business analysis, project management, process enhancement, automation engineering and solution design and implementation of credit risk projects across Group Credit Risk.**Responsibilities**:

- The role provides in-depth exposure to the bank’s credit RWA calculation and reporting processes. Your work will be focused on the rules, systems and processes used for the bank’s regulatory credit risk reporting, and you will be required to interact with senior stakeholders on a regular basis.
- You will perform many of the functions of a product owner, identifying system improvements and collaborating with business and IT stakeholders to describe, prioritise and drive implementation of system enhancements. You will develop controls and optimise processes to ensure the accuracy, efficiency, and timeous delivery of regulatory reporting to the SARB PA and other stakeholders.
- The role offers high visibility as recommendations, enhancements and status updates are tabled at board level committees, the South African Reserve Bank (SARB) and the bank’s internal and external auditors.
- The team culture emphasises development, especially of leadership and behavioural skills. Our focus is on automation and digitisation, while our function provides insight and assurance into impairments, credit RWA, concentration risk, portfolio management, risk appetite, peer group analysis, financial disclosures, and various regulatory reports, all of which are presented to executive management and the Board. This provides opportunities for development and growth, and to develop an organisation-wide reputation for excellence.

**Job Responsibilities include the following**:

- Interpret regulatory reforms and assess the impact on credit risk parameters, processes, results, and reporting.
- Drive process improvements across the credit risk reporting landscape, including BA returns, ICAAP, Pillar III and Analyst Booklet reports.
- Provide trend analysis and assurance on portfolio movements.
- Identify opportunities for credit RWA optimisation.
- Communicate insights and results to senior stakeholders to facilitate improved accuracy, efficiency, and management of credit risk.
- Project management of key deliverables, including co-ordinating the work and output of team members and contributors across the organisation.
- Documentation of findings, recommendations, business requirements, and project updates. Preparing written communications to various stakeholders, including executive committees, the SARB, external auditors of the bank and the Board.
- Ad-hoc tasks, reports, deep dives, and responding to SARB queries.
- Contribute to a high-performance team culture via collaboration, knowledge sharing, mentoring, sprint planning and retrospectives, daily scrums, and project participation.
- Stay abreast of developments in your field of expertise, ensuring personal and professional growth.
- Understand and embrace the Nedbank vision and values, and lead by example.
- Provide assurance on credit RWA allocated across all products in the Group, including adherence to the applicable regulations, trend analysis and attribution.

**Essential Qualifications - NQF Level**
- Professional Qualifications/Honour’s Degree

**Preferred Qualification**
- Relevent Post graduate quantitative qualification

**Minimum Experience Level**
- 4+ years risk analytics, modelling and management.

**Technical / Professional Knowledge**
- Banks Act Regulations and Returns, including BA200, BA210, Pillar 3 reporting and Basel 3 Final Reforms
- Calculation of Credit RWA and Counterparty Credit Risk
- Statistical modelling skills
- Knowledge of IFRS 9 for the calculation of credit impairments is an advantage
- Understanding of credit modelling and rating process
- MS Office, particularly Excel (advanced user)
- Python, SAS and SQL
- Principles of financial reporting and reconciliations
- Business analysis: map processes, identify improvem

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