Manager Model Development

2 weeks ago

Sandton, South Africa Absa Bank Limited Full time

Bring your possibility to life Define your career with us
- With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.Job Summary

Manage the development and continuous enhancement of impairment models for the Corporate and Investment Bank portfolio in South Africa by playing a leading role in the entire credit risk model build, implementation and governance lifecycle. Act as an Senior technical advisor to junior quantitative analysts and Model Development analysts across wider Model Risk and Development team.

**Job Description**:
Model Development
- Develop models in-house by ensuring model build data is of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures.
- Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly.
- Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy and relevant standards. This includes responding to Independent Review/Validation questions and reworking the model build to include issues raised.
- Communicate results, impacts and recommendations from analysis and modelling undertaken to other areas of Group Credit Risk and Business by tailoring the interpretation to the audience and using appropriate presentation technology and templates.

Expert advisory
- Stay abreast of industry trends and role players and ensure that the function is well positioned to provide competitive and industry leading services.
- Scan the external market to understand future challenges and ensure that the function is positioned to deal with multiple and often contradicting scenarios across Absa.
- Expert technical adviser to junior quant and modelers across wider team across the following model/methodology disciplines including Impairment, Model Risk, AIRB (PD, LGD, EAD), Stress Testing, Economic Capital, Pricing and Portfolio Analytics.
- Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained.

Stakeholder management
- Actively engage stakeholders (model users, validation team and monitoring team) to be fully engaged in process and delivery.
- Generate appropriate challenge on model builds by discussing model build detail and ideas.
- Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions.
- Explaining methodologies and data feeds to Internal Audit, External Audit, SARB and their representatives.
- Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback.
- Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources.
- Contribute to the development of a high-performance culture.
- Participate in planning, resource allocation, training and team-building functions.

Governance & Compliance
- Provide general consultancy for credit risk matters within the business unit, including validation and challenge models.
- Ensure best practice modelling techniques are in place by liaising with other business units and consulting with strategy software suppliers.
- Perform all other duties as reasonably assigned.

Education and Experience Required

Post Graduate degree in Statistics/Mathematics/Engineering or similar.

Minimum of 8 years Banking and analytics experience preferred.

Education

Bachelor's Degrees and Advanced Diplomas: Business, Commerce and Management Studies (required)
- Absa Bank Limited reserves the right not to make an appointment to the post as advertised_

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