Analyst Model Development

Boardroom Appointments; Johannesburg; On-site; ZAR 600,000 - 840,000; Full time

Job summary

Boardroom Appointments seeks an experienced modeller to develop IFRS9 and regulatory capital models (PD, LGD, EAD) and refresh existing models. You will ensure data quality, governance, and effective communication of model impacts to stakeholders.

The role requires 3–5 years of experience, a relevant honours degree, and strong SAS skills. Based in Johannesburg, it offers a full-time on-site position with governance responsibilities and analytics collaboration.

Qualifications

• Bachelor Honours degree in Actuarial Science, Applied Mathematics, BMI Business Management & Informatics, Mathematics, or Statistics.

Responsibilities

• Develop and monitor IFRS9 and/or Regulatory Capital models (PD, LGD, EAD) and scorecards.
• Enhance and refresh existing models.
• Proficiency in SAS coding is essential.
• Update models for forecasted macro-economic factors and communicate impacts.
• Perform data testing and statistical analysis to ensure data quality.
• Support the model implementation team and answer technical questions.
• Ensure governance from inception to validation per Model Risk Policy.
• Engage stakeholders and present model updates and impacts.
• Analyze model changes and provide insights to business units.

Education

Actuarial Science

Applied Mathematics

BMI Business Management & Informatics

Mathematics

Statistics

Tools

SAS

Job description

• Statistics/Mathematics or similar. Bachelor Honours Degree: Actuarial Science, or BachelorHonours Degree: Applied Mathematics, or
• Bachelor Honours Degree: BMI Business Management
  and Informatics, or Bachelor Honours Degree: Mathematics, or Bachelor Honours Degree:Statistics

Preferred Requirements

• Years of experience: 3 - 5 years

Responsibilities:

• Develop and monitor IFRS9 and/or Regulatory Capital models in-house ,PD, LGD or EAD models orscorecard models through sound methodologies and statistical analysis
• Enhancing / refreshing existing models already in place
• Proficiency in SAS coding is essential
• Updating models to reflect latest forecasted macro-economic factors; and communicating thisimpact
• Testing that model build data is of sufficient quality and completing statistical data analysis toensure this
• Assisting the model implementation team through answering technical questions around the modelworkings (inputs to the model, calculations performed, etc.) and with testing (comparingimplementation results with documented model) to ensure the model is implemented correctly
• Develop theoretical understanding and practical application of models
• Ensure full governance processes for modelling are complied with from model inception and buildthrough to validation and sign-off by completing all relevant documentation according to the CompanyModel Risk Policy
• This includes responding to Independent Review questions and reworking the model build to resolve issues raised.
• Provide detail around the appropriateness of models
• Perform and report impact analysis, including that of model updates
• Work in a manner that allows models to easily be revisited or handed over
• Accountability: Stakeholder management
• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fullyengaged in process and delivery through email discussions, group meetings and one-on-onediscussions
• Present impacts of model updates / model refreshes
• Generate appropriate challenge on model builds from around the cluster by discussing model builddetail and ideas
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities arereflected in the agreed solutions
• Explaining methodologies and data feeds to stakeholders when needed
• Develop and maintain relationships with relevant business units by understanding the business units'requirements and obtaining feedback
• Interact with Credit teams when details of their operational processes is required to understand thedata / incorporate into the model methodology
• Accountability: Consultancy
• Share insights on the models for which you are responsible for. E.g., on the data used to build themodel, drivers of the model, methodology, etc
  Perform analysis on models to understand impacts, changes, etc
• Accountability: Governance and Adherence
• Familiarize yourself with The Companies internal Model Risk Governance requirements and relevant
• Standards About Us
• Familiarize yourself with the regulations which govern model methodologies
• Ensure that work which is performed adheres to the above