Senior Model Methodology Analyst

2 weeks ago

Johannesburg, 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

Identify, research and propose modelling approaches and statistical methodologies to be used as a key component of the development of appropriate models that comply fully with all regulatory and/or business requirements.

**Job Description**:
Accountability: Training and development
- Create standardized training for quants
- this should be in relation to credit risk, retail and wholesale; regulatory compliance training; statistical methodology training.
- Facilitate knowledge sharing initiatives amongst quants of different fields (EC, RC, IFRS9, etc.)
- Assist with the upskilling of new joiners in various business areas by means of training.
- Assist with the setup of senior management training for board members and senior managers.
- Assist with the liaison of the North West university training, and student projects.
- Facilitate training and upskilling internal stakeholders on generic methodologies and documentation templates such that methodologies are well understood and used appropriately across the relevant functions.

Accountability: Research and Technical Advisory
- Create mode development templates on the current regulations and assist with the methodology standardization
- Assist with interpretation of new regulations, or accounting standards.
- Research best practice and asses feasibility
- Stay abreast of industry trends and new research to ensure that the function is well positioned to provide compliant, competitive and industry leading models.
- Assist with the interpretation of policy and regulatory changes to understand the impact on and changes required to generic methodologies and documentation templates used across functions.
- Expert technical adviser to quant and modellers across wider team across the following model/methodology disciplines:
o Regulatory models

o Impairment

o Stress Testing

o Economic Capital

o Pricing

o Monitoring and Portfolio Analytics
- Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback on impact of proposed generic methodologies.
- Assist with manage external stakeholders (such as regulators, BASA).
- Ensure the effective deployment and effective use within the organisation of required project-management tools, methodology, systems, etc.
- Provide consultative support on the frameworks and methodologies to all stakeholders
- Ensure the frameworks and methodologies align with and support all required regulatory and compliance requirements
- Facilitate the development and maintenance of approved generic methodologies and documentation templates for development of models across business units.
- Review samples of model documentation to ensure methodologies are correctly applied and documented.
- Enhance model usage through development of appropriate methodologies and assessment of model owner requirements.

Accountability Governance and compliance
- Participate in governance processes where required from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review/Validation questions on methodology.

Accountability: Manage People and Performance
- Specialist in the team specifically relating to retail credit risk
- Take steps to ensure sound HR practices and adherence to Group policies and standards within the business function.
- Coach, mentor and develop staff members (inside the team and outside the team).
- Encourage and support frequent knowledge sharing between the broader quant community members.
- Determine and analyse development needs for external teams and ensure that identified training requirements are executed.

Post Graduate degree in Statistics/Mathematics or similar, PhD preferred

Minimum of 4 years banking or 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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