- The Credit Risk Model Developer Deployment Specialist will play an important role within the team aiding the development of credit models that will predict risk parameters such as PD, EAD and LGD, and the operationalization of these the models in the production environment to support risk decisions.
- Credit origination decisions and annual periodic monitoring
- Informing pricing decisions
- IFRS 9 ECL impairment calculation
- Fair value impairment calculation
- Lead the development of credit risk models and methodologies, ensuring they are effective in assessing credit risk during origination and periodic monitoring.
- Impairment provisioning models (IFRS9 ECL Fair Value).
- Create comprehensive documentation, including model development documentation, user manuals, and technical specifications.
- In addition to the modelling activities, the successful incumbent will also be responsible for the further improvement of the measurement (calibration) and monitoring of existing models.
- Ensure that the models are effectively embedded into operational activities.
- Convert existing excel based risk and valuation models into a suitable platform/interface, ensuring accuracy and reliability in the transition process.
- Collaborate with internal IT and software development teams to integrate the deployed models into our existing systems and databases.
- Bachelor and/or a postgraduate qualification in Mathematics, Statistics, Engineering, Econometrics, Data Science, Finance, Risk Management, or other related field with strong quantitative focus.
- Strong background in model development and practical deployment tools will be considered an added advantage.
- Quantitative techniques and analytics in various areas within credit risk in a financial institution, including model deployment.
- Demonstratable technical experience in model development, validation, and implementation for credit risk quantification (e.g. PD / LGD / CCF estimation, IFRS9, Fair-Value, Basel IRB modelling, Credit Approval, Stress Testing, Incorporation of Early Warning risks / indicators in Credit Risk)
- Data management, mining, cleansing and visualization with specific application to credit risk data.
- Strong skills in programming and quantitative analysis packages (e.g., Python, R, SAS, SPSS) or/and data management (e.g., SQL)
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Quantitative Specialist: Credit Risk Model Development - Sandton, South Africa - TalentCru
Description
Within the Risk Governance Portfolio Management function of Group Risk, the Quantitative Management team is responsible for the development, oversight, and embedment of the credit risk measurement models for the Corporation.
*PLEASE NOTE THAT THIS A 18 MOTNHS FIXED TERM CONTRACT
The models are used to support the following functions amongst others:
MAIN DUTIES AND RESPONSIBILITIES:
Model deployment execution:
QUALIFICATIONS (Formal qualifications):
KNOWLEDGE EXPRIENCE:
*PLEASE NOTE THAT THIS A 18 MOTNHS FIXED TERM CONTRACT
