Wholesale Risk Management Lead: Model Development and Validation

2 days ago


Johannesburg, Gauteng, South Africa Nedbank Full time
Overview:

This role is focused on the validation of credit risk models and processes within the Wholesale division at Nedbank.

Main Tasks:
  • Validation of credit risk models and processes - Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
  • 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 stakeholders - Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised.
  • 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.
Requirements:
  • Advanced Diplomas/National 1st Degrees
Preferred Qualifications:
  • Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.
Technical Proficiency:
  • Knowledge of IFRS 9 Financial Instruments standard for the calculation of credit impairments is an advantage.
  • Industry trends.
  • Microsoft Office.
  • Principles of project management.
  • Relevant regulatory knowledge.
  • Risk management process and frameworks.
  • Business writing skills.
  • Coaching.
  • Communication.
  • Decision Making.
  • Quality Orientation.
  • Technical/Professional Knowledge and Skills.


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