Quantitative Analyst: Wholesale Validation

1 month ago

Johannesburg, South Africa Nedbank Full time

**Requisition Details & Talent Acquisition Contact**
- REQ 127731- Tshego Semenya**Cluster**
- Group Risk**Career Stream**
- Quantitative

**Leadership Pipeline**
- Manage Self: Professional

**Position**
- Quantitative Analyst: Wholesale Model Validation**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.
- 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 Wholesale credit models and you will be required to interact with senior modellers on a regular basis
- The team will focus on automation, machine learning and expansion into new areas such as credit risk loss forecasting, credit stress testing and anti-money laundering during the medium term

**Responsibilities**:

- 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 Wholesale 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- Post graduate degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline., CFA/ FRM/CQFat

**Type of Exposure**
- Analysing situations or data that requires an in depth evaluation of multiple factors
- Developing ways to minimize risks
- Influencing stakeholders to obtain buy-in for concepts and ideas
- Sharing information in different ways to increase stakeholders understanding
- Executing strategy
- Working with a group to identify alternative solutions to a problem
- Interacting with diverse people
- Building and maintaining effective relationships with internal and external stakeholders
- Analysing and interpreting quantitative and qualitative data
- Managing multiple projects

**Technical / Professional Knowledge**
- Business Acumen
- Industry trends
- Microsoft Office
- Principles of project management
- Relevant regulatory knowledge
- Relevant software and systems knowledge
- Risk management process and frameworks
- Business writing skills
- Microsoft Excel
- Quantitative Skills

**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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