Credit Model Validation Expert
2 days ago
The Credit Model Validation Expert will play a crucial role in ensuring the accuracy and reliability of our credit risk models. Based in Cape Town, this expert will collaborate with model developers to enhance model robustness and real-world applicability.
Responsibilities:
- Validate and assess the performance of credit risk models, ensuring they align 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 ensure reliability and accuracy.
- Ensure compliance with regulatory frameworks related to credit risk and capital management.
- Prepare detailed reports and present findings to senior management, highlighting areas for improvement and actionable insights.
We estimate the salary for this position to be around R1,200,000 - R1,800,000 per annum, depending on experience.
Requirements:
- A Degree in Mathematics, Statistics, Actuarial Science, Engineering, or a related field.
- 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.
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