Head of IRB Model Development

Boardroom Appointments; Sandton; On-site; ZAR 900 000 - 1 300 000; Full time

Job summary

A leading recruitment agency is seeking a Head of IRB Model Development in Sandton to define strategic direction and lead a team in developing credit risk models. Responsibilities include ensuring alignment with regulatory requirements and fostering team collaboration. The successful candidate should have over 10 years of experience in credit risk modelling and a strong quantitative background. This senior role promotes professional growth while championing the company's culture and values.

Qualifications

• 10+ years' experience in credit risk modelling teams.
• Proven leadership experience in managing teams and projects.
• Strong background in risk modelling and programming languages.

Responsibilities

• Define strategic vision for credit risk capital modelling.
• Lead and mentor a high-performing team of model developers.
• Develop and implement regulatory and economic credit risk frameworks.

Skills

Leadership

Statistical analysis

Python

R

SAS

MATLAB

C++

Communication skills

Education

Advanced degree in Economics, Mathematics, Statistics, or Engineering

Tools

GitHub

Azure DevOps

Cloud platforms

Job description

About the job Head of IRB Model Development

Head of IRB Model Development

Responsibilities

Define the strategic vision and roadmap for the modelling of regulatory and economic credit risk capital.

Lead and mentor a high-performing team of risk model developers and quantitative analysts, fostering a collaborative environment and promoting continuous professional development.

Develop, maintain, and implement a comprehensive regulatory and economic credit risk capital model development framework in line with the Prudential Authority's (PA) regulatory requirements, internal policies, and industry best practices.

Ensure appropriate design and development of credit risk models, including:

Probability of Default (PD)

Exposure at Default (EAD)

Partner with key stakeholders across The Company to ensure alignment of model design and performance with business objectives and capital management strategies.

Remain at the forefront of developments in credit risk modelling (both internal and regulatory), the regulatory landscape, and industry best practices.

Be a trusted advisor and sounding board on regulatory matters by supporting The Company.

In partnership with the independent model validation function, confirm models continue to perform as expected and/or address known model design or performance deficiencies.

Provide guidance, data, and analysis of exceptional quality, relevance, and insightfulness to support business-critical decisions.

Collaborate with the IFRS 9 model development team to ensure regulatory credit risk models remain appropriate inputs to IFRS 9 Expected Credit Loss estimates.

Engage and collaborate with Credit Risk, Finance, and Business Units to integrate credit risk models into the broader risk management frameworks and capital planning processes.

Actively contribute to maintaining a rigorous governance framework for model risk, including development, documentation, validation, and use.

Collaborate with IT and data teams to ensure efficient model implementation, data quality, and system integration.

Contribute to the development of stress testing and scenario analysis frameworks for credit risk to assess the impact of adverse economic conditions on the credit portfolio.

Champion The Companys culture and values, ensuring your team embodies these principles in all decisions and actions.

Experience, Skills, and Capability

Advanced degree in a highly quantitative field such as Economics, Mathematics, Statistics, or Engineering, with strong academic performance.

10+ years' experience in credit risk modelling teams.

Proven leadership experience in managing teams, projects, and cross-functional collaboration.

Experience leading an organisation through transformational change.

Strong background in risk modelling, statistical analysis, and programming languages (e.g., Python, R, SAS, MATLAB, C++).

In-depth understanding of statistical modelling for portfolios with varied risk types across retail and commercial books, including capital (regulatory and economic), provisioning, and stress testing.

Strong knowledge of regulatory requirements, especially in the context of the IRB approach for credit risk.

Extensive knowledge of the full model lifecycle and associated implementation controls.

Self-motivated, with the ability to work both independently and collaboratively.

Strong communication skills (written, verbal, and presentation).

Willingness to learn and adapt to change quickly.

Professional certifications such as FRM, CFA, or PRM are advantageous.

Experience with version control tools (e.g., GitHub, Azure DevOps) or cloud platforms (e.g., Azure), or willingness to learn.