Head of Models

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

**Job Description**:

- Provide thought leadership in analytical or modelling methodologies used in credit sanctioning, impairments, capital management and the Group’s planning processing to ensure such methodologies are fit for purpose. Actively manage and communicate model risk across the model lifecycle for 9 countries across ARO into the Business Unit, Group Committees and external stakeholders,
- Key contributor to the development of technical standards and approaches adopted to estimate Impairment and Capital requirements for Retail Credit Risk and operationalisation.
- Ensure new products, customer relief programs, loan restructure programs and model modifications meet with IFRS 9 standards, SARB regulatory guidelines, the Group’s risk and technical accounting policies.
- Review and challenge the non-model ECL estimate that arises from troubled single names or sectors.
- Review and challenge the use of overlays (both management and technical model adjustments).
- Review and challenge the country’s bottom-up impairment forecasts that inform the Group’s MTP process.
- Continuously keep abreast with changes from accounting bodies and regulators to ensure those changes are interpreted and implemented with collaboration with other centre support areas.
- Defining and maintaining appropriate control processes and sign off of these financial controls for all items within own accountabilities as well as contributing to improving the control environment for retail credit risk.
- Triangulate approaches to /measurements for impairment, stress testing, capital and risk appetite to ensure alignment and consistency.
- Lead the Model development and the Portfolio Analytics teams.
- Plan, design and resource model development activities to ensure model development capabilities are fit for purpose.
- Develop, maintain and communicate the model and analytics related book of work.
- Lead model risk management in the Business unit and ensure adherence to Group’s model risk and model implementation policies.
- Ensure the Groups model inventory and model documentation are informed and maintained.
- Management and closure of all internal validation units, internal audit and external audit findings related to model risk management.
- Actively manage resourcing for model implementation and validation to keep model owners abreast of delivery timelines.
- Drive ownership of models, analytical strategies into each of the country teams as well as relevant centre colleagues.
- As a sme, recommend required capability and motivate for required resources (own or others) to develop and implement models in the business unit.
- Manage credit technical aspects (ECL calculations and related models ) of the internal and external audit engagements.
- Additionally build out key stakeholder (internal and external) communications and reporting across model risk activity within the ARO retail modelling portfolio.
- Ability to manage a large contingent contractor workforce.
- Ability to keep abreast of macro and operating environments across multiple geographies.
- Build a trust advisor relationship with country CROs/CDDs as well as Group finance on matters related to ECL technical calculations and model technical matters.

The role operates in the space where Risk, Finance Business and Treasury meet and as such is a highly complex and technical role.It is a key relationship role with the individual Retail businesses and ABSA Group Risk, as well as to the Finance function in communicating capital and impairment trends and performance within risk appetite. It is also central in communicating to and engaging with internal senior management (Group Risk, BU CEOs / CFOs) regarding impairments, capital and stress testing as well as with External Audit.
- Role / Person Specification
- Education and Experience Required
- Bsc-degree Honours or B.Com Honours. MBA or a related NQF Level 9 equivalent qualification a strong advantage.
- (10+) years’ experience in the Banking sector which must include proven experience, preferably with international exposure and having worked in multiple locations/ countries.
- (10) years’ experience in managing a large Control or Operations environment.
- (8) years’ experience on a senior management level in a large corporate.

Knowledge & Skills:

- Technical knowledge of IFRS 9 ECL calculations and standards, stress testing in banking environment, model development, model risk measurement, capital (Regulatory & Economic) calculations.
- Communication skill and ability to influence senior stakeholders and build strong partnerships.
- Proven leadership.
- Peopl

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