Senior Analyst Model Validation

2 weeks ago


Pretoria, South Africa Absa Group Full time

Senior Analyst Model Validation (VP)

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Remote Type: Hybrid

Location: Sandton

Time Type: Full time

Posted on: 2 Days Ago

End Date: November 15, 2024 (5 days left to apply)

Job Requisition ID: R-15969205

Empowering Africa’s tomorrow, together…one story at a time.

With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.

Job Summary

The role entails the validation of models, focusing on identifying, mitigating, and monitoring key model risks. You will conduct validations on a diverse range of models mainly traded market risk models, produce validation reports, negotiate the findings & actions with internal & external stakeholders, and influence the continuous improvement of model quality & use. These areas make use of a wide range of models and cover products used across all of AGL’s business units.

Job Description

Accountabilities:

- Validate and execute validations assigned to you by following each validation stage in accordance with the IVU process.

- Complete validations on time according to the IVU planning schedule.

- Validate models in accordance with internal and external requirements.

- Deliver ad-hoc and management requests timeously and to the required standard of quality.

- Constructively challenge models and related processes. Engage with stakeholders to get their perspective.

- Clearly document model validation recommendations/findings.

- Ensure validations assigned to you follow each validation stage in accordance with the IVU process.

- Report all risk events/incidents/issues immediately upon discovery.

- Identify the model risks as part of the model validation review.

- Propose limitations and discuss the resolutions with the Quant Risk, Business, and Product Risk.

Work Experience & Skills Requirements:

- Proven, relevant experience in markets with good knowledge of the markets, products, and risk.

- A minimum of 6-8 years of experience in market risk, model risk management, validation, and control.

- Good quantitative level of experience with products and their risks.

- Experience with traded market risk models and regulatory frameworks relevant to Market Risk.

- Experience with derivatives pricing models/frameworks and valuation adjustments.

- Ability to work under pressure in a fast-paced and highly regulated environment.

Qualifications:

- Honours degree in quantitative disciplines such as Economics, Mathematics, Actuarial Science, Statistics, or Financial Engineering.

- PhD or MSc Finance/Financial Engineering/Mathematical Finance can be useful.

Absa Bank Limited is an equal opportunity, affirmative action employer.

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