Quantitative Specialist: Credit Impairments

1 week ago

Pretoria, South Africa PreBless Group Full time

**ROLE OVERVIEW** Develops statistical analytical models to analyse the portfolio, including quantitative analysis, probability analysis, regression analysis, migration analysis, etc. **QUALIFICATIONS AND EXPERIENCE** - B Degree in Applied Mathematics, and / or Statistics / Accounting - 3 years experience in Quantitative Analyst in a credit granting environment and in financial markets - 2-3 years experience in Statistical Software - SAS Programming/ Statistical software 4 - Microsoft Office 5 & BASEL 3 - IFRS (relevant standards) 4 & Data Analysis 5 - Financial Risk Management Principles **KEY PORTFOLIO AND PERFORMANCE FOCUS AREAS** - ** Develop and Runs Impairment (Expected loss) Models**: - Development and/or implementation of statistical models to implement the IFRS9 Credit impairment models - Develop diagnostic method to quantify changes in provision due to both external and internal - Changes to credit risk environment. - Integration of enterprise wide stress testing requirements into the IFRS9 Credit Impairment model and to determine the potential impact on impairment provisions - Provides information to both internal and external auditors to ensure their accurate understanding and analysis of the asset portfolio - Develops statistical analytical models to analyse the portfolio, including quantitative analysis, probability analysis, regression analysis, migration analysis, etc. - Analyses various segments of the portfolio to determine their impact on the loan loss provisions. - Provides recommendations to management to help direct future lending activities to mitigate future loan losses. - Maintain database on defaults and assist in the design, development, implementation, and maintenance of data structures and data extracts to support comprehensive data collection, loading, and extraction for complex analyses. - Enhancement of Loss Given Defaults (LGD) models (loss database, collateral haircuts) - Maintain database on SLA partners - ** General modelling responsibilities**: - Develops and performs processes for model monitoring. - Completes testing on model assumptions, theory, empirical evidence, implementation and limitations. - Perform routine analysis for model performance monitoring and model review, maintaining current model inventory for validation and audit compliance. - Maintain "overwrite statistics" - Develop and maintain documentation of procedures and processes - Maintain thorough technical, procedural, processing, and system knowledge. - Obtain and conduct data analysis required for stress testing model development. - Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Banks lending portfolio - Work with appropriate parties to resolve or remediate data quality issues - ** General Reporting & Research**: - Prepare reports and presentations, delivering information for use in Executive level reports and financials - Write or assist in the drafting of ad hoc and recurring reports. - Keep current regarding latest industry developments and trends affecting the regulatory environment, banking industry and the organisation. - Perform ad-hoc analyses as and when needed

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