Head of IRB Model Development

3 days ago

Sandton South Africa Boardroom Appointments Full time R1 200 000 - R2 400 000 per year


Head of IRB Model Development

Responsibilities

  1. Define the strategic vision and roadmap for the modelling of regulatory and economic credit risk capital.

  2. Lead and mentor a high-performing team of risk model developers and quantitative analysts, fostering a collaborative environment and promoting continuous professional development.

  3. Develop, maintain, and implement a comprehensive regulatory and economic credit risk capital model development framework in line with the Prudential Authority's (PA) regulatory requirements, internal policies, and industry best practices.

  4. Ensure appropriate design and development of credit risk models, including:

    • Probability of Default (PD)

    • Loss Given Default (LGD)

    • Exposure at Default (EAD)

    • Credit portfolio models

  5. Partner with key stakeholders across The Company to ensure alignment of model design and performance with business objectives and capital management strategies.

  6. Remain at the forefront of developments in credit risk modelling (both internal and regulatory), the regulatory landscape, and industry best practices.

  7. Be a trusted advisor and sounding board on regulatory matters by supporting The Company.

  8. In partnership with the independent model validation function, confirm models continue to perform as expected and/or address known model design or performance deficiencies.

  9. Provide guidance, data, and analysis of exceptional quality, relevance, and insightfulness to support business-critical decisions.

  10. Collaborate with the IFRS 9 model development team to ensure regulatory credit risk models remain appropriate inputs to IFRS 9 Expected Credit Loss estimates.

  11. Engage and collaborate with Credit Risk, Finance, and Business Units to integrate credit risk models into the broader risk management frameworks and capital planning processes.

  12. Actively contribute to maintaining a rigorous governance framework for model risk, including development, documentation, validation, and use.

  13. Collaborate with IT and data teams to ensure efficient model implementation, data quality, and system integration.

  14. Contribute to the development of stress testing and scenario analysis frameworks for credit risk to assess the impact of adverse economic conditions on the credit portfolio.

  15. Champion The Companys culture and values, ensuring your team embodies these principles in all decisions and actions.

Experience, Skills, and Capability

  1. Advanced degree in a highly quantitative field such as Economics, Mathematics, Statistics, or Engineering, with strong academic performance.

  2. 10+ years' experience in credit risk modelling teams.

  3. Proven leadership experience in managing teams, projects, and cross-functional collaboration.

  4. Experience leading an organisation through transformational change.

  5. Strong background in risk modelling, statistical analysis, and programming languages (e.g., Python, R, SAS, MATLAB, C++).

  6. In-depth understanding of statistical modelling for portfolios with varied risk types across retail and commercial books, including capital (regulatory and economic), provisioning, and stress testing.

  7. Strong knowledge of regulatory requirements, especially in the context of the IRB approach for credit risk.

  8. Extensive knowledge of the full model lifecycle and associated implementation controls.

  9. Self-motivated, with the ability to work both independently and collaboratively.

  10. Strong communication skills (written, verbal, and presentation).

  11. Willingness to learn and adapt to change quickly.

  12. Professional certifications such as FRM, CFA, or PRM are advantageous.

  13. Experience with version control tools (e.g., GitHub, Azure DevOps) or cloud platforms (e.g., Azure), or willingness to learn.


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