Senior Analyst Model Validation

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

As a Senior Analyst within the team, the expectation will be to perform and review model validations in accordance with the model risk policy, take on a team/project lead role and be accountable for the delivery of work by junior members of the team. Offer technical and professional guidance to ensure growth and development to junior team members.

Within validation the incumbent will conduct validations on a diverse range of AGL models, produce validation reports, negotiate the findings & actions with internal and external stakeholders and influence the continuous improvement of model quality & use. These areas make use of a wide range of models (Regulatory Capital, Economic Capital, impairments, pricing, behavioural, application, stress-testing, valuation, derivatives, insurance risk, etc.) and cover products used across all of AGLs business units.

Within monitoring the incumbent will conduct model performance monitoring on a wide range of AGL models (Regulatory Capital, Impairments, Behavioural scorecards, Application scorecards and Credit decisioning) and cover products used across all of AGLs business units, produce monitoring reports and engage with internal and external stakeholders on the output thereof. Work closely with the validation teams, as the monitoring analyses constitute critical inputs into the periodic validation process.

This role is ideal for a candidate that wants to develop multi-dimensional skillset, is looking for a role that provides great visibility within the firm and wants to be in a position that will promote big-picture strategic thinking.

Job Description

Accountability: Model validation/monitoring (75%)

·    Execute validation/monitoring of models assigned to you by following each step in accordance to the IVU process. Specifically, ensure that all information required for the validation/monitoring is available on time, as received from Model Owner (MO) and/or Model Development (MD).

·    Ensure submission and completion milestones have been communicated to relevant stakeholders for the models assigned to you.

·    Complete assigned models on time according to the IVU planning schedule.

·    Use agreed templates and tools.

·    Validate/monitor models in accordance to internal and external requirements (e.g. as set out in the Group Model Risk Policy - GMRP and associated standards, Basel regulations, Prudential Authority - PA regulations long-forms, IFRS9, etc.).

·    Strive for a computationally accurate analysis which does not require recalculation as part of management review.

·    Strive to produce a quality report requiring minimum corrections as part of management review. Ensure the report is palatable for the intended audience.

·    Clearly document model recommendations/findings and relevance thereof to model use and portfolio decision making. Agree resolution actions and resolution timelines with affected counterparties and document these in the report. Focus on significant findings and minimize the number of significant findings missed as part of the process.

·    Ensure that all findings that are resolved are evidenced and that you have checked and recorded as such.

·    Give input into the following processes: Annual PA Self-Assessment, Long Form Audits, etc.

·    Deliver ad-hoc and management requests timeously and to the required standard of quality.

·    On occasion supervise/assist less experienced analysts (AVPs) to:

o    ensure timeous and quality delivery of validation outputs.

o    offer technical and professional guidance.

Accountability: Management of Stakeholder Relationships (15%)

·    Develop a professional relationship with all stakeholders. These include, but are not limited to, model owners, model developers, and audit.

·    Good communication of model findings to all stakeholders.

·    Either address (where able and competent) or escalate material concerns or bottlenecks to line manager (or relevant stakeholder) as early as possible to enable actions to be taken pre-emptively.

·    Constructively challenge models and related processes. Engage with the stakeholders to get their perspective.

·    On an ongoing basis, interact with internal stakeholders (e.g. model developers, IVU colleagues, model owners, model implementation, business representatives, etc.) to ensure common understanding of findings and concepts.

·    Guide internal counterparties through relevant regulatory, policies, standards, sites and governance requirements.

Accountability: Development of Technical and Product Knowledge (10%)

·    Develop own technical knowledge, regulatory/policy knowledge and softer skills independently from scheduled team training.

·    Exposure to diverse range of models across different business areas.

·    Be involved with new developments and initiatives within the bank.

·    Shares own knowledge on informal and formal basis; support team's overall development.

·    Identify and escalate any conceptual or big picture risks (incl. changes to the regulatory landscape) in respect of IVU and AGL.

·    Strive to receive regular 360 feedback to facilitate sight of blind spots and develop oneself.

·    Attend and actively participate in citizenship/training events.

·    Ensure simple administrative issues are addressed adequately and within agreed timelines - such as performance review process, completion of assigned training etc.

·    Behaviourally, focus on the following:

o  Be objective and factual in terms of one's opinion/communications.

o  Be open-minded in interactions. Be prepared to listen and be challenged.

o  Be supportive and helpful.

o  Be risk-focused.

Understand stakeholders' needs.

Education

Postgraduate Degrees and Professional Qualifications: Actuarial Science (Required), Postgraduate Degrees and Professional Qualifications: Risk Management, Postgraduate Degrees and Professional Qualifications: Statistics (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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