Data Scientist

firstrand; Johannesburg; On-site; ZAR 30 000 - 70 000; Full time

Job summary

An established industry player is seeking a skilled IFRS 9 Model Developer to enhance their Credit Risk team. This role offers the opportunity to work on innovative projects that shape the future of credit risk modelling. You will be responsible for developing and validating IFRS 9 models, ensuring compliance with regulatory standards, and collaborating with auditors. Ideal candidates will possess strong analytical skills and a solid background in statistical techniques. Join a dynamic team that values curiosity and continuous improvement, and make a meaningful impact in the financial services sector.

Benefits

Networking Opportunities

Challenging Work Environment

Innovation-Driven Projects

Qualifications

• 2+ years in credit risk modelling with focus on IFRS 9 ECL.
• Strong statistical techniques including Logistic Regression.

Responsibilities

• Develop and validate IFRS 9 models ensuring regulatory compliance.
• Collaborate with auditors and perform model calibration.

Skills

Credit Risk Modelling

IFRS 9 ECL

Statistical Techniques

Logistic Regression

Python

R

SAS

SQL

Analytical Skills

Education

Master’s or PhD in Statistics

Bachelor’s Degree in Mathematics

Job description

Time left to apply: End Date: May 14, 2025 (3 days left to apply)

Job Requisition ID: R32474

Job Description

We are seeking an experienced IFRS 9 Model Developer to join our Credit Risk team. The successful candidate will have over 2 years of hands-on experience in credit risk modelling, focusing on scoring, IFRS 9 Expected Credit Loss (ECL), Basel models, or similar quantitative modelling. This role involves developing, calibrating, validating, and monitoring IFRS 9 models, ensuring compliance with regulatory and audit standards.

About the Role

• Collaborate with auditors to provide insights into IFRS 9 models, methodologies, and processes.
• Perform model calibration, validation, and ongoing monitoring.
• Design and build credit risk models supporting IFRS 9 ECL calculations.
• Conduct stress testing to evaluate model resilience.
• Enhance modelling frameworks to meet evolving regulatory and business needs.

Candidate Profile

• Minimum 2 years of experience in credit risk modelling, including IFRS 9 ECL and Basel models.
• Strong knowledge of statistical techniques such as Logistic Regression, PD, EAD, LGD, and Survival Analysis.
• Ability to communicate complex technical concepts clearly to auditors.
• Experience with model calibration, validation, monitoring, and stress testing.
• Proficiency in Python, R, SAS, or SQL is advantageous.
• Excellent analytical skills and attention to detail.
• Ability to work independently and in teams in a fast-paced environment.

Preferred Qualifications

• Advanced degree (Master’s or PhD) in Statistics, Mathematics, Data Science, or related fields.
• Experience in financial services or banking, especially credit risk.
• Knowledge of Basel III/IV frameworks.

Benefits and Opportunities

• Networking and collaboration opportunities.
• Challenging work environment.
• Innovation-driven projects.

Who We Are Looking For

• Curious and courageous individuals eager to learn and grow.
• Obsessed with mastery and continuous improvement.

Application Details

Applications close on 14/05/2025. Please submit your application before the deadline. All appointments will align with FirstRand Group’s Employment Equity plan. We support the recruitment of individuals with disabilities; candidates may disclose their disability voluntarily, and this information will be kept confidential.

About Us

FNB serves retail and commercial customers with banking, insurance, savings, and investment products, along with a digital platform and rewards system. Recognized globally, FNB offers diverse career opportunities to make a meaningful impact on people's lives.