Data Scientist Credit Risk

4 days ago


Johannesburg, Gauteng, South Africa Network Finance. Full time
Job Description

This role involves leading a team of specialists in developing and validating impairment models, including PD, LGD, and EAD models, under the framework of IFRS9 standards.

You will provide strategic input to credit models, working closely with banks and companies to enhance their credit risk management practices.

The ideal candidate should have experience in credit risk model development, validation, and implementation, as well as knowledge of economic capital models and SAS programming.

Key Responsibilities:

  • Develop and validate impairment models, ensuring compliance with regulatory requirements
  • Collaborate with stakeholders to identify areas for improvement in credit risk management practices
  • Design and implement economic capital models to inform business decisions
  • Stay up-to-date with industry developments and best practices in credit risk modelling

Requirements:

  • Honours degree in a statistical, mathematical, or actuarial field
  • 2-5 years of experience in credit risk, with a focus on model development and validation
  • Experience with SAS programming and IFRS9 standards

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