Data Modelling Specialist: Retail Risk Validation
20 hours ago
We are seeking a skilled Data Modelling Specialist to join our team in Johannesburg, South Africa.
Job Description:The successful candidate will be responsible for the validation of credit risk models and processes, providing input on the build and refinement of credit risk models within the business clusters. This role involves quantitative and qualitative validation of credit risk models and data, as well as the application thereof.
The ideal candidate will have 5+ years' experience in Retail risk modelling, validation environment – with a strong preference for AIRB or IFRS 9 modelling. A Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline is required.
This is a challenging role that requires excellent communication, report writing, project management and general credit knowledge with solid technical expertise. The successful candidate will also need to stay up-to-date with emerging regulatory requirements and modelling techniques.
Key Responsibilities:- Validation of credit risk models and processes
- 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
- Continuous learning - Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert
- Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline
- 5+ years' experience in Retail risk modelling, validation environment – with a strong preference for AIRB or IFRS 9 modelling
- Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach
- Statistical or mathematical modelling skills
R800,000 - R1,200,000 per annum, depending on experience.
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