Senior Quantitative Analyst: Wholesale Model Validation

Senior Quantitative Analyst: Wholesale Model Validation

Job Family

Job Purpose

• To develop and maintain best practice models and assessment strategies in line with regulations (where applicable) in order to facilitate world class risk management and/or attainment of strategic objectives.
• The validation of the models used for the calculation regulatory and economic capital as well as credit impairments and the rating processes.

Job Responsibilities

• The role provides in-depth 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 Wholesale credit models, and you will be required to interact with senior modelers on a regular basis.
• The validation function assures the Board, the external auditors of the bank and SARB of the high standard and regulatory compliance of the credit risk models, the rating processes and IFRS 9 impairment models.
• The ideal candidate will blend excellent communication, report writing, project management and general credit knowledge with solid technical expertise.
• Your analyses and reports are presented at Nedbank Group Board committees, the SARB and the bank’s internal and external auditors.

Outputs/ Deliverables

• Validation of credit risk models and processes - Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
• 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.
• Continuous learning - Keeping abreast with emerging regulatory requirements and modelling techniques.
• Liaising with the stakeholders - Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised.
• Change facilitation - Facilitate improvement in credit risk models and processes.
• Organisational learning - Knowledge sharing, research and mentoring of junior staff members and graduates.
• Documentation - Document work performed and findings of validations.
• Ad-hoc - Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.

Essential Qualifications - NQF Level

• Advanced Diplomas/National 1st Degrees

Preferred Qualification

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

Technical Exposure

• 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 VBA.

Minimum Experience Level

• 5+ years’ work experience in Wholesale risk modelling, validation or credit management environment.

Technical / Professional Knowledge

• Industry trends.
• Microsoft Office.
• Principles of project management.
• Relevant regulatory knowledge.
• Relevant software and systems knowledge.
• Risk management process and frameworks.
• Business writing skills.
• Microsoft Excel.
• Business Acumen.
• Quantitative Skills.
• Coaching.
• Communication.
• Decision Making.
• Quality Orientation.
• Technical/Professional Knowledge and Skills.

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