Quantitative Analyst

2 weeks ago

Johannesburg, South Africa Nedbank Full time

**Requisition Details & Talent Acquisition Contact**
- REQ 131517- 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 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 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.
- Ad-hoc - Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.
- Minimum Experience Level- 1-2 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 +27 860 555 566_**
- **_Please contact the Nedbank Recruiting Team at +27 860 555 566_

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