Analyst Model Development

1 week ago

Johannesburg, Gauteng, South Africa Absa Group Full time R900 000 - R1 200 000 per year

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
Join a diverse team of dynamic model developers. We are looking for an experienced Model Development Analyst with a background as a quantitative analyst developing PD, LGD and EAD models for Impairments (IFRS9 ECL) and Regulatory Capital (Basel) in a banking or consulting environment.

Job Description

  • You will be responsible for supporting the development and continuous enhancement of impairment (IFRS9 ECL) and Regulatory Capital (Basel) models within a retail portfolio, contributing to the entire credit risk model build, implementation, and governance lifecycle.
  • You will be part of a team of model developers and your role will include developing models, testing model build data, performing and reporting impact analysis, and producing detailed model build documentation.
  • You will be accountable for ensuring that all activities and duties are carried out in full compliance with policies, procedures and regulations.
  • You will also play an active role in sharing insights on the models for which you are responsible (e.g. on the data used to build the model, model drivers, and methodology) as well as transferring knowledge and experience to other team members and peers.
  • Your ability to engage and effectively communicate with business stakeholders is key.
  • A successful candidate will hold at least a degree in Mathematics, Actuarial Science, Statistics, Business Mathematics and Informatics (BMI) or a related field with a minimum of 2 years' experience in credit risk model development in a retail environment. Experience in SAS is preferred.

Education
Bachelor Honours Degree: Actuarial Science (Required), Bachelor Honours Degree: BMI - Business Management and Informatics (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.
Absa Bank Limited reserves the right not to make an appointment to the post as advertised

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