Head: Cib Regulatory Capital Model Development

2 months ago

Sandton, South Africa Absa Bank Limited Full time

Empowering Africa’s tomorrow, together one story at a time.
- 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

Lead the Corporate and Investment Banking (CIB) Regulatory Credit Capital Model Development team responsible for the development and continuous enhancement of the wholesale AIRB credit risk models (PD, LGD and EAD) from development, implementation, monitoring and governance lifecycle, as well as support functions around Credit Risk matters. Provide strategic thought leadership relating to additional models needed.

Job Description

Role description:

- Lead the development of CIB regulatory credit capital models (PD, LGD and EAD) and methodologies, ensuring they are effective in assessing credit risk and comply with regulatory and ABSA requirements.
- Manage a team of model developers, providing leadership, coaching, and development opportunities to team members.
- Collaborate with other teams, such as risk management, finance, and business units, to ensure that credit risk models are integrated into the broader risk management framework.
- Work with external vendors and consultants, as necessary, to ensure that the institution has access to the latest modeling techniques and data sources.
- Monitor the performance of credit risk models and adjust, as necessary, to ensure their effectiveness.
- Provide guidance and advice to senior management on credit risk modeling issues.
- Provide training to stakeholders on credit risk regulations and credit risk models.
- Ensure models are compliant with validation, testing and governance processes.
- Stay abreast of regulatory requirements and industry best practices related to credit risk modelling.
- Ensure successful implementation of models by assisting the model implementation team with technical and implementation testing support.

Qualifications and skills required:

- Advanced degree (BSc Hons) in a quantitative field, such as mathematics, statistics, or mathematics in finance.
- At least 10 years of experience in credit risk modeling, with a strong understanding of modeling techniques and methodologies.
- Previous experience leading a team of model developers.
- Knowledge of IRB regulatory requirements related to credit risk modeling, including Basel III/IV.
- Strong analytical and problem-solving skills.
- Excellent communication skills, with the ability to explain complex concepts to non-technical stakeholders.
- Ability to work collaboratively with other teams and stakeholders.
- Strong project management skills, with the ability to manage multiple projects simultaneously.

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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