Data Scientist

FNB South Africa; Johannesburg; On-site; ZAR 40 000 - 80 000; Full time

Job summary

Join a forward-thinking financial institution as an IFRS 9 Model Developer in the Credit Risk team. This role offers the chance to engage in innovative credit risk modelling, focusing on IFRS 9 Expected Credit Loss calculations and Basel frameworks. You'll collaborate with auditors, ensuring compliance and accuracy while developing robust models. The dynamic environment fosters curiosity and collaboration, providing opportunities for professional growth and mastery in your field. If you have a passion for data science and a desire to make impactful contributions in financial services, this is the perfect opportunity for you.

Benefits

Networking Opportunities

Challenging Working Environment

Opportunities to Innovate

Qualifications

• Minimum of 2 years in credit risk modelling with expertise in IFRS 9 ECL.
• Strong knowledge of statistical modelling techniques and model validation.

Responsibilities

• Develop, calibrate, and validate IFRS 9 models for credit risk.
• Collaborate with auditors and conduct model stress testing.

Skills

Credit Risk Modelling

IFRS 9 ECL

Statistical Modelling

Logistic Regression

Python

R

SAS

SQL

Analytical Skills

Education

Master’s or PhD in Statistics, Mathematics, or Data Science

Tools

Python

R

SAS

SQL

Job description

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, with a focus on scoring, IFRS 9 Expected Credit Loss (ECL), Basel models, or similar quantitative modelling. This role will play a key part in developing, calibrating, validating, and monitoring IFRS 9 models while ensuring compliance with regulatory and audit requirements.

Hello, Future Data Scientist II

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 that 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 come together and ignite effective change.

Are You Someone Who Can

• Collaborate with auditors to provide detailed insights into IFRS 9 models, methodologies, and processes.
• Perform model calibrations to ensure accuracy and alignment with business and regulatory needs.
• Conduct model validation and ongoing monitoring to assess performance and identify areas for improvement.
• Design and build robust credit risk models to support IFRS 9 ECL calculations and other risk frameworks.
• Execute stress-testing scenarios to evaluate model resilience under adverse conditions.
• Support the development and enhancement of modelling frameworks to meet evolving regulatory and business requirements.

You Will Be An Ideal Candidate If You Have

• Minimum of 2 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 in a clear and concise manner.
• Experience with model calibration, validation, monitoring, and stress testing processes.
• Proficiency in programming languages/tools such as Python, R, SAS, or SQL is an advantage.
• 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.

You Will Have Access To

• Opportunities to network and collaborate.
• Challenging Working environment.
• Opportunities to innovate.

We Can Be a Match If You Are

• Curious & courageous - you are driven by always wanting to know more and learn more and you are brave enough to.
• Obsessed with mastery - you know what it takes to become good at what you do and are constantly pushing yourself to do it.

Are you interested to take the step? We look forward to engaging with you further. Apply now!

Job Details

Take note that applications will not be accepted on the below date and onwards, kindly submit applications ahead of the closing date indicated below.

14/05/25

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. In order for us to fulfill this purpose, candidates can disclose their disability information on a voluntary basis. The Bank will keep this information confidential unless we are required by law to disclose this information to other parties.