Quantitative Analyst - Johannesburg, South Africa - Nedbank

Nedbank

Verified Company

Johannesburg, South Africa

1 week ago

Posted by:

Thabo Mthembu

beBee Recruiter

Description

Requisition Details & Talent Acquisition Contact

REQ Tshego Semenya
Location: Sandton
Closing date: 15 May 2024
Cluster
Group Risk
Career Stream
Quantitative

Leadership Pipeline

Manage Self: Professional

Position

Quantitative

Analyst: Analytical Systems
Job Purpose

To support an efficient ECL calculation process through understanding various systems employed in the IFRS9 ECL process.
Collaborate with Group Technology teams in ensuring accurate flow of data into the IFRS9 calculation engine.
Support frontline clusters during new IFRS9 model implementations, model refinements and monthly ECL executions.
Contribute to initiatives driving optimisation of current IFRS9 processes.
Contribute to the development and maintenance of best practice models and assessment strategies in line with regulations (where applicable) to facilitate world class risk management.
Explore innovative modelling and implementation techniques to ensure model sustainability, reusability, and auditability.
Seek opportunities to optimise businessasusual processes by identifying and implementing effective ways of working that will have realworld implications.

Responsibilities:

Efficient automation of IFRS9 ECL calculations, including running monthly IFRS9 ECL processes and analysis, where required.
Efficient and thorough testing of new models or model changes and confirm solution readiness prior to implementation.
Employ quantitative techniques and analytical methods to assess the drivers of various risk measures in the IFRS9 impairments context.
Enhance, query and challenge data quality reports and metrics with the aim of optimising the ECL calculation process.
Unpack impacts of quarterly macroeconomic forecasts from the Group Economic Unit. Disseminate how updated forecasts impacts affected portfolios.
Analyse the updated macroeconomic forecasts to assess potential changes in economic indicators such as GDP growth, inflation rates, and unemployment levels etc.
Evaluate how revisions in these forecasts might alter the risk assessments and expected credit losses (ECL) of various models and portfolios.
Communicate the significance of the new data to stakeholders, ensuring they understand the rationale behind any shifts e.g. stage migration.
Monitor ongoing economic developments closely to stay ahead of further changes that could impact coverages and credit loss ratios.
Assist frontline clusters to address queries by extracting and analysing data, unpacking issues raised and providing timeous and concise feedback.
Perform ad hoc analysis and complete data requests through monitoring of data as per client specification.
Ensure continuity and knowledge base through documenting and recording processes and models.
Contribute to the development of differentiated, superior solutions (solution engineering) that meet stakeholder & business requirements through analysis.
Ensure product and/or solution design is congruent with the required business specifications through meeting stakeholder requirements timeously.

Minimum Experience Level

At least 23 years of experience in credit risk, preferably in the banking or financial services industry.
Intermediate to advanced knowledge in programming languages such as SAS, Python, SQL.
Familiarity with credit risk methodologies such as PD, EAD and LGD, in both Basel III and IFRS9 contexts.
Strong analytical and problemsolving skills, as well as attention to detail and accuracy.
Excellent communication and presentation skills, both written and verbal.
Ability to work independently and collaboratively in a fastpaced environment.

Essential Qualifications - NQF Level

Advanced Diplomas/National 1st Degrees

Preferred Qualification

Minimum required Qualification: Advanced Diplomas/National 1st Degrees.
Preferred qualification: Undergraduate degree in Statistics/Mathematics or post graduate degree in Statistics/Mathematics, CFA/ FRM/ CQF.

Technical / Professional Knowledge