Data Scientist III

FNB South Africa; Johannesburg; On-site; ZAR 500,000 - 800,000; Full time

Job summary

A leading financial institution in South Africa is seeking a Data Scientist III to design and implement IFRS 9-compliant models for credit risk. This role requires strong analytical skills, experience in credit risk modelling, and the ability to communicate complex technical concepts effectively. Join a collaborative team and engage in a challenging work environment that fosters innovation and continuous learning.

Benefits

Networking and collaboration opportunities

Challenging work environments

Opportunities to innovate

Qualifications

• Minimum 3 years of experience in credit risk modelling.
• Strong knowledge of IFRS 9 ECL and Basel models.
• Ability to work independently and in teams.

Responsibilities

• Design and develop IFRS 9-compliant models for Expected Credit Loss.
• Conduct validation to ensure accuracy and compliance.
• Establish frameworks for ongoing performance assessment.

Skills

Logistic Regression

Model Calibration

Model Validation

Statistical Techniques

Python

R

SAS

SQL

Analytical Skills

Education

Advanced degree in Statistics, Mathematics, Data Science

Job description

Job Title: Data Scientist III

Location: Gauteng, Johannesburg | Deadline: July 02, 2025

Key Responsibilities:

1. 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 regulatory requirements and risk policies. Use statistical techniques to build predictive models incorporating macroeconomic variables.
2. Model Validation: Conduct validation to ensure accuracy and compliance, including analyses like actuals vs expected, population stability, Gini coefficient, sensitivity analysis, stress testing, and back-testing. Address deficiencies and improve models.
3. Model Monitoring: Establish frameworks for ongoing performance assessment, identify model drift, and update models as economic or regulatory conditions change.
4. Stakeholder Engagement: Present methodologies and validation results to governance forums, collaborate with internal teams and external auditors, and communicate technical concepts effectively.
5. Team Management: Manage and mentor junior model developers, set objectives, conduct reviews, and foster a collaborative team environment.
6. Regulatory and Compliance Oversight: Stay updated on IFRS 9, Basel, and other regulations, ensure compliance, and support audits and inspections.

Qualifications:

1. Minimum 3 years of experience in credit risk modelling, including IFRS 9 ECL, Basel models, or related areas.
2. Strong knowledge of statistical techniques such as Logistic Regression, PD, EAD, LGD, and Survival Analysis.
3. Experience engaging with auditors and explaining technical concepts clearly.
4. Experience with model calibration, validation, monitoring, and stress testing.
5. Proficiency in Python, R, SAS, or SQL is advantageous.
6. Excellent analytical skills and attention to detail.
7. Ability to work independently and in teams in a fast-paced environment.

Preferred Qualifications:

1. Advanced degree (Master’s or PhD) in Statistics, Mathematics, Data Science, or related fields.
2. Experience in financial services or banking, especially credit risk.
3. Familiarity with Basel III/IV frameworks.

Access to:

• Networking and collaboration opportunities.
• Challenging work environments.
• Opportunities to innovate.

We look for candidates who are:

• Curious and courageous, eager to learn and explore.
• Obsessed with mastery, continually improving their skills.