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    • Senior Quantitative Analyst: Wholesale Model Validation - Johannesburg - Nedbank

    Nedbank
    Nedbank Johannesburg

    6 days ago

    Nedbank background
    Description

    Senior Quantitative Analyst: Wholesale Model Validation

    Job Summary:

    This is a senior role that requires developing and maintaining best practice models and assessment strategies in line with regulations to facilitate world-class risk management and attainment of strategic objectives.

    The role involves the validation of models used for the calculation of regulatory and economic capital, as well as credit impairments and rating processes to contribute to the goal of best practice models in line with regulations and accounting standards.

    Key Responsibilities:

    • Develop and maintain best practice models and assessment strategies in line with regulations to facilitate world-class risk management and attainment of strategic objectives.
    • Validate models used for the calculation of regulatory and economic capital, as well as credit impairments and rating processes.
    • Provide constructive challenge to business and recommend improvements to models as a subject matter technical expert.
    • Liaise with stakeholders, including business, credit, and senior modellers to ensure that the validation process and feedback are optimised.
    • Present reports to senior management and document work performed and findings of validations.

    Requirements:

    • Advanced Diplomas/National 1st Degrees or Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.
    • 5+ years' work experience in Wholesale risk modelling, validation or credit management environment.
    • Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach, statistical or mathematical modelling skills, and understanding of credit modelling and rating process.
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