Data Scientist Iii

Wesbank; Johannesburg; On-site; ZAR 60,000 - 90,000; Full time

Job summary

Wesbank seeks a skilled IFRS 9 Model Developer to create and validate credit risk models while ensuring compliance with regulatory standards. The role includes mentoring junior developers and requires strong expertise in quantitative analysis and model development, ideal for those seeking a challenging and rewarding career path in financial services.

Qualifications

• Minimum of 3 years experience in credit risk modelling.
• Strong knowledge of IFRS 9 ECL models.
• Proficiency in statistical modelling techniques, including Logistic Regression.

Responsibilities

• Develop, validate, and monitor IFRS 9 models for Expected Credit Loss.
• Present model methodologies and outcomes to stakeholders.
• Manage and mentor junior model developers.

Skills

Credit Risk Modelling

Statistical Modelling Techniques

Analytical Skills

Attention to Detail

Programming Languages

Education

Advanced degree (master's or PhD) in Statistics, Mathematics, Data Science

Tools

Python

R

SAS

SQL

Job description

Time left to apply: End Date: July 1, (1 day left to apply)

Job Requisition ID: R

Job Description

The IFRS 9 Model Developer will be responsible for developing, validating, and continuously monitoring IFRS 9 models (Expected Credit Loss) to ensure compliance with Broader African regulatory standards and internal risk management requirements.

The role includes presenting model outcomes and methodologies to the Technical Committee and other relevant forums, while managing and mentoring junior model developers.

It necessitates strong technical expertise in quantitative and credit risk modelling.

Additional Job Details

Welcome to FNB, the home of the #changeables. We design for the shapeshifters and deliver products and services that make us incredibly proud of the people who make it happen. As part of our talent team, you will be surrounded by unique talents, diverse minds, and an adaptable environment that lives up to the promise of staying curious. Now's the time to imagine your potential in a team where experts unite and ignite effective change.

Key Responsibilities

• Model Development: Design, develop, and implement IFRS 9-compliant models for Expected Credit Loss (ECL), including Probability of Default (PD), Loss Given Default (LGD), Significant Increase in Credit Risk (SICR), forward-looking models (FLI), and Exposure at Default (EAD). Ensure models align with broader African countries' regulatory requirements and internal risk policies. Utilize statistical and econometric techniques to build robust, predictive models. Incorporate macroeconomic variables and forward-looking information into models.
• Model Validation: Conduct rigorous validation of IFRS 9 models to ensure accuracy, reliability, and compliance. Include actuals vs expected, population stability of the model variables, Gini of the model, and the like. Perform sensitivity analysis, stress testing, and back-testing of models. Address model deficiencies and implement enhancements as needed.
• Model Monitoring: Establish and maintain ongoing monitoring frameworks to assess model performance. Identify and report model drift, recalibration needs, or performance issues. Ensure timely updates to models in response to changes in economic conditions or regulatory guidelines.
• Stakeholder Engagement: Present model methodologies, validation results, and performance metrics to the Technical Committee and other governance forums. Engage internal and external auditors on topics related to broader Africa models. Communicate complex technical concepts to non-technical stakeholders clearly and effectively. Collaborate with internal teams (e.g., Risk, Finance, Audit) and external stakeholders (e.g., regulators, auditors).
• Team Management: Manage, mentor, and develop two junior model developers, providing technical guidance and fostering professional growth. Set clear objectives, conduct performance reviews, and ensure alignment with departmental goals. Promote a collaborative and innovative team culture.
• Regulatory and Compliance Oversight: Stay updated on IFRS 9, Basel, and other relevant regulatory changes impacting model development. Ensure all models and processes comply with internal governance and external regulatory standards. Support audits and regulatory inspections by providing documentation and technical expertise.

Candidate Requirements

You will be an ideal candidate if you have:

• Minimum of 3 years of experience in credit risk modelling, with expertise in scoring, IFRS 9 ECL, Basel models, or related quantitative modelling.
• Strong knowledge of statistical modelling techniques, including Logistic Regression, Probability of Default (PD), Exposure at Default (EAD), Loss Given Default (LGD), and Survival Analysis.
• Proven ability to engage with auditors and explain complex technical concepts clearly and concisely.
• Experience with model calibration, validation, monitoring, and stress testing processes.
• Proficiency in programming languages/tools such as Python, R, SAS, or SQL is advantageous.
• Excellent analytical skills and attention to detail.
• Ability to work independently and collaboratively in a fast-paced environment.

Preferred Qualifications

• Advanced degree (e.g., master's or PhD) in Statistics, Mathematics, Data Science, or a related field.
• Prior experience in financial services or banking, particularly in credit risk.
• Familiarity with Basel III / IV frameworks and their application to credit risk modelling.

Additional Information

You will have access to opportunities to network and collaborate. Challenging working opportunities to innovate.

We can be a match if you are:

• Curious & courageous — driven by always wanting to know more and learn more, brave enough to take on challenges.
• Obsessed with mastery — constantly pushing yourself to excel at what you do.

Interested in taking the next step? We look forward to engaging with you further. Apply now!

Note: Applications will not be accepted after July 1, 2025. All appointments will be made in line with FirstRand Group's Employment Equity plan. The bank supports the recruitment and advancement of individuals with disabilities, who may disclose their disability information voluntarily. The bank will keep this information confidential unless required by law.

Introduce yourself to our recruiters via MyQ. For queries, log them through MyQ.

About Us

FNB serves retail and commercial customers with banking, insurance, and investment products, and a digital universe of solutions. It has a market-leading app and awards including the Strongest Banking Brand in the World. FNB offers many opportunities for a rewarding career, especially if you want to make a meaningful impact on people's lives.