Senior Manager: Model Development

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

Overall job purpose

To develop tactical strategy and delivery plans, formulate associated practice/s and to ensure operational implementation and adoption in terms of actuarial methodology, governance and delivery objectives. This role enables sound management of business performance and financial risk.

Job Description

Accountability: Stakeholder management (30%)
- Engage with key stakeholders across the business, such as model users, model implementations, IVU, the Central Monitoring team, internal and external Audit, and regulators, by ensuring their objectives, concerns and priorities are reflected in the agreed solutions.
- Explain methodologies and analyses that will assist internal and external audit as well as the SARB PA and representatives with requests.
- Generate appropriate challenge by discussing model build detail and ideas.

Accountability: Expert Consultancy (20%)
- Stay abreast of industry trends and role players and ensure that the function is well positioned to provide competitive and industry leading services.
- Provide general consultancy within the cluster, including validation and challenge models, assisting in business forecasting and extrapolation analyses, compiling trend analyses by statistically comparing different scenarios. Use these analyses to make recommendations around next steps or decisions to be taken by business.
- Present analysis results to Technical Committees and Forums, as required. Take on relevant challenge and guidance from peers within the bank and improve models if needed.
- Scan the external market to understand future challenges and ensure that the function is positioned to deal with multiple and often contradicting scenarios across Absa.
- Provide appropriate challenge on model build and methodologies used in Absa by discussing model build detail and ideas in the relevant forums and meetings, ensuring that best practice modelling techniques are in place.
- Participate in the proof of concepts of new software within the bank, as required.
- Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained.

Accountability: Model Development (10%)
- On an ad hoc basis, aim to create value by analysing information obtained from the Model Ready datasets and/or data maintained by MRPC.
- Ensuring that model developments and documentation adhere to the Model Development and Documentation Standard.
- Present development checkpoints and analytical results to Model Owners and product Credit Risk Officers (CROs) with guidance from senior managers. Tailor the interpretation of results to the audience and utilise appropriate presentation technology and templates. Ensure that feedback from business is incorporated into the model building process, ensuring that strategic and policy changes are reflected in the model.
- Communicate results and recommendations from analysis and modelling undertaken to other areas of Absa, for example the weekly Technical Discussion meetings. Tailor the interpretation of results to the audience and utilise appropriate presentation technology and templates.
- Ensure that analysis, development code and workings are stored on the appropriate servers, and that version control is adhered to.
- Ensure that submissions to the Internal Validation Unit (IVU) are made in accordance to agreed timelines and adheres to the Model Validation Requirements.
- Provide support to IVU, Internal and External Audit during reviews of developed models. This includes responding to questions, and reworking the model build to include issues raised, if necessary.
- Ensure successful and seamless implementation of vendor and in-house models by assisting the model implementation team. This can be done by answering technical questions around the model workings and assisting with comparing implementation results with prototype results, as well as to impacts submitted to IVU. Review the Post-Implementation Review of the model.
- Ensure full governance processes are followed as documented in the Group Model Risk Policy (GMRP), from the inception of the model development through to the validation and sign-off.
- Ensure that the first round of monitoring packs is prepared and handed over to the Central Monitoring team in accordance with agreed timelines and the proposed monitoring plan.

Accountability: Governance and Adherence (10%)
- Ensure that governance relating to SAS Model Risk Manager (MRM) is followed during the model life cycle.
- Ensure model compliance with Absa Group Policies and Standards by staying upda