Manager Quantitative Risk and Modelling

**PRIMARY PURPOSE**

Govern and lead the strategic development, execution and automation of all quantitative risk and regulatory models across the bank. Drive regulatory alignment and risk-informed decision-making across IFRS 9 and market valuation-and risk models. Represent the bank at ALCO, EXCO-level forums, and external audit engagements on model governance matters.

**TECHNICAL COMPETENCY REQUIREMENT**
- Advanced quantitative modelling expertise in credit risk and a good understanding of models used in financial markets for valuation and risk quantification.
- Strong command of Basel III/IV frameworks and regulatory return frameworks (e.g., BA 200, BA 330).
- Proficiency in developing, validating, and defending models with a focus on IFRS 9, SA-CCR, Market Valuation and stress testing models.
- Understanding of economic capital modelling, capital forecasting, and scenario analysis.
- Advanced coding capabilities in relevant languages (ex. Python, VBA, C#, SAS, R)
- Demonstrated ability to automate quantitative processes.
- Strong data transformation and warehousing understanding, including reconciliation across risk and finance.
- Deep understanding of model performance metrics and model limitation disclosures.
- Experience with FIS (Risk Management Platform) and Reuters Eikon for market and credit data is beneficial.
- Ability to interpret strategy into model design and deliver analytics that support ALCO, Risk Committee, and Board decision-making.
- Proven ability to prepare and present model documentation to regulators and auditors under scrutiny would be beneficial.
- Track record of regulatory engagement with the Prudential Authority and external audit would be beneficial.
- Contributor to key governance forums for example Model Risk Forums or ALCO.

**REQUIRED MINIMUM EDUCATION AND TRAINING**
- BSc of relevant BCom Degree in Financial Mathematics, Actuarial Science, Econometrics, Statistics, Physics or Economics
- Certifications in Financial Risk Management (FRM) or Chartered Financial Analyst (CFA) strongly preferred.

**REQUIRED MINIMUM WORK EXPERIENCE**
- 5-8 years quantitative Risk and modelling within a banking environment with demonstrable expertise in capital, credit, and/or market risk models. Must include experience with regulatory frameworks (IFRS 9, Basel, Banks Act)

**KEY PERFORMANCE AREA (KPA)**

**Financial Management**
- Reconcile IFRS 9 outputs against financial disclosures and internal control totals.
- Streamline model implementation

**Stakeholder /Client Management**
- Support effective collaboration with external auditors, the Prudential Authority, and regulatory stakeholders to ensure model integrity and compliance.
- Enable informed decision-making by communicating model impacts clearly to Exco, ALCO, and Risk Committees.

**Data Management**
- Lead advanced quantitative analysis across credit and market.
- Develop and automate complex statistical models and forecasting tools to inform capital planning, ICAAP, IFRS 9, and portfolio optimization.
- Govern and refine analytical processes to support the bank's risk appetite framework and business strategy execution. Perform predictive analytics, trend analysis, and early warning indicator modelling to anticipate emerging risks.
- Integrate macroeconomic stress testing and forward-looking scenario design into quantitative frameworks.
- Embed model outputs and analytics in business-critical processes such as pricing, provisioning, and capital allocation.
- Automate reporting pipelines where possible and enforce BCBS239-compliant data lineage and governance

**Operational Excellence**
- Lead the end-to-end governance of quantitative models used across credit risk, and market risk.
- Implement and automate a secure, auditable modelling environment to support version control, model traceability, and regulatory trace-back.
- Prepare defensible model documentation and validation reports for the Prudential Authority, external audit, and Exco presentations.
- Drive model performance testing, back testing, and challenger model development to ensure resilience in downturn scenarios.
- Lead the resolution of model risk, audit findings, and limitations through strategic refinements and governance committee alignment.
- Contribute to stress testing and scenario design for internal capital stress programs and board-aligned simulations.
- Champion model risk culture by contributing to policies, frameworks, and training for stakeholders across the bank.
- Own and execute the end-to-end IFRS 9 modelling process with precision, ensuring timeliness, data integrity, and regulatory alignment.
- Clean, transform, and validate large datasets across multiple systems to maintain audit-traceable model inputs.
- Collaborate with Risk, Finance, Credit, and Data teams to source, validate, and map key inputs including Watchlist and Risk Ratings
- Address and close external audit findings through robust controls, detailed documentation, and back tested evid