Quantitative Analyst - Johannesburg, South Africa - Nedbank

Nedbank

Verified Company

Johannesburg, South Africa

1 week ago

Posted by:

Thabo Mthembu

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Requisition Details & Talent Acquisition Contact

Leadership Pipeline

Position

Analyst
Job Purpose

The validation of the models used for the calculation regulatory and economic capital as well as credit impairments and the rating processes. This is to contribute to the goal of best practice models in line with regulations and accounting standards (where applicable) in order to facilitate world class risk management.

Responsibilities:

The role provides indepth exposure to the bank's credit risk measurement models used for the calculation of regulatory and economic capital, as well as credit impairments. Your work will be focused on Retail credit models and you will be required to interact with senior modellers on a regular basis. The role offers high visibility as analyses and reports will be tabled at board level committees, the South African Reserve Bank (SARB) and the bank's internal and external auditors.

Deliverables

Subject matter expert
Provide input/assistance in the build and refinement of credit risk models within the business clusters.
Enhancements to existing models
Independent development of models to assess potential for improvement on existing ones.
Liaising with the stakeholders
Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.

Change facilitation

Organisational learning

Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.

Documentation

Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board.

Adhoc

Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.
Minimum Experience Level 12 years experience in Retail risk modelling, validation or credit management environment with a strong preference for AIRB or IFRS 9 modelling

Essential Qualifications

Preferred Qualification

Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.

Technical / Professional Knowledge

Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach
Statistical or mathematical modelling skills
Knowledge of IFRS 9 Financial Instruments standard for the calculation of credit impairments is an advantage
Understanding of credit modelling and rating process
MS Office, particularly Excel (advanced user)
SAS and SQL (preferred)

Disclaimer

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