Head Of Irb Model Development

Boardroom Appointments; Gauteng; On-site; ZAR 1 200 000 - 1 500 000; Full time

Job summary

A leading company in the financial sector is seeking a Head of IRB Model Development to define strategic vision and lead a high-performing team. The role involves developing credit risk models and ensuring compliance with regulatory requirements. The ideal candidate will have extensive experience in credit risk modelling, strong leadership skills, and a solid understanding of statistical analysis and programming languages. This position offers the opportunity to significantly impact the company's risk management and capital planning strategies.

Qualifications

• 10+ years of experience in credit risk modelling teams.
• Proven leadership in managing teams and projects.
• Professional certifications like FRM, CFA, or PRM are advantageous.

Responsibilities

• Define the strategic vision for modelling regulatory credit risk.
• Lead a team of risk model developers and quantitative analysts.
• Develop and implement a credit risk capital model development framework.

Skills

Leadership

Statistical Analysis

Communication

Risk Modelling

Programming

Education

Advanced degree in Economics

Advanced degree in Mathematics

Advanced degree in Statistics

Advanced degree in Engineering

Tools

Python

R

SAS

MATLAB

C++

Job description

Head of IRB Model Development Responsibilities

1. Define the strategic vision and roadmap for modelling regulatory and economic credit risk capital.
2. Lead and mentor a high-performing team of risk model developers and quantitative analysts, fostering collaboration and continuous professional development.
3. Develop, maintain, and implement a comprehensive credit risk capital model development framework aligned with regulatory requirements, internal policies, and industry best practices.
4. Design and develop credit risk models, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and credit portfolio models.
5. Partner with stakeholders to ensure model design and performance align with business objectives and capital strategies.
6. Stay informed about developments in credit risk modelling, regulatory changes, and industry best practices.
7. Support regulatory matters and serve as a trusted advisor to the company.
8. Collaborate with the model validation function to ensure models perform as expected and address deficiencies.
9. Provide high-quality data and analysis to support critical business decisions.
10. Work with IFRS 9 model development to ensure models support IFRS 9 Expected Credit Loss estimates.
11. Engage with Credit Risk, Finance, and Business Units to integrate credit risk models into risk management and capital planning.
12. Maintain a rigorous governance framework for model risk, including development, documentation, validation, and use.
13. Collaborate with IT and data teams for model implementation, data quality, and system integration.
14. Contribute to stress testing and scenario analysis frameworks to evaluate economic impacts on credit portfolios.
15. Promote the company's culture and values within the team.

Experience, Skills, and Capabilities

1. Advanced degree in Economics, Mathematics, Statistics, Engineering, or a related quantitative field, with strong academic records.
2. 10+ years of experience in credit risk modelling teams.
3. Proven leadership in managing teams, projects, and cross-functional collaborations.
4. Experience leading organizational change.
5. Strong background in risk modelling, statistical analysis, and programming languages (e.g., Python, R, SAS, MATLAB, C++).
6. Deep understanding of statistical modelling across various risk types and portfolios, including capital, provisioning, and stress testing.
7. Knowledge of regulatory requirements, particularly IRB approaches for credit risk.
8. Extensive experience with the full model lifecycle and implementation controls.
9. Self-motivated with the ability to work independently and in teams.
10. Excellent communication skills.
11. Willingness to learn and adapt quickly.
12. Professional certifications like FRM, CFA, or PRM are advantageous.
13. Experience with version control tools and cloud platforms or willingness to learn.