Credit Risk Model Validation Expert
5 hours ago
This is an exciting opportunity to advance your expertise in credit risk and drive the validation of cutting-edge financial models in a fast-paced environment. Based in Cape Town, you will play a critical role in ensuring model accuracy, compliance, and reliability in the credit risk space.
Key Responsibilities- Validate and assess the performance of credit risk models to ensure alignment with industry standards and regulatory requirements.
- Collaborate with model developers to enhance model robustness and real-world applicability.
- Conduct rigorous stress testing, sensitivity analysis, and model back-testing to guarantee reliability and accuracy.
- Evaluate and report on compliance with regulatory frameworks related to credit risk and capital management.
You will work closely with senior management to prepare detailed reports and present findings, highlighting areas for improvement and actionable insights.
The ideal candidate will have:
- A degree in Mathematics, Statistics, Actuarial Science, Engineering, or a related field.
- At least 35 years of hands-on experience in credit risk modeling, validation, or related quantitative roles.
- Strong proficiency in Python, R, or SAS for model evaluation and data analysis.
- In-depth knowledge of credit risk frameworks, including Basel, IFRS 9, and BCBS239.
- Strong understanding of credit risk modeling techniques, such as PD, LGD, EAD, and credit scoring.
We are offering a competitive salary of R1,200,000 - R1,500,000 per annum, reflecting the company's commitment to attracting and retaining top talent in the field.
If you're passionate about data and decision-making, this is an exceptional opportunity to take your career to the next level.
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