Lead Credit Risk Model Development (PD/LGD/EAD)

Absa Group; Johannesburg; On-site; ZAR 900,000 - 1,500,000; Full time

Job summary

Absa Group is seeking an experienced Model Development Manager to lead the end-to-end development of PD, LGD and EAD models for Regulatory Capital and IFRS9 impairments. You will supervise project delivery, coordinate with validation, credit, finance and audit teams, and mentor junior staff.

The role requires a strong quantitative background, 3–4 years in credit risk modelling and at least 2 years in team leadership, within a banking or consulting setting.

Qualifications

• 3–4 years hands-on model development experience in credit risk modelling (PD/LGD/EAD).
• At least 2 years’ experience managing model development teams or projects.
• Proven end-to-end lifecycle experience: development, implementation, monitoring and governance.
• Strong understanding of Regulatory Capital and IFRS9 frameworks.
• Experience mentoring junior analysts within a modelling environment.

Responsibilities

• Take ownership of end-to-end model development lifecycle, including governance and timelines.
• Lead calibration, enhancement and documentation of PD, LGD and EAD models for regulatory purposes.
• Manage delivery timelines and dependencies across multiple modelling initiatives.
• Ensure compliance with regulatory requirements and internal policies and standards.
• Collaborate with model validation, credit, finance and audit stakeholders for governance.

Skills

PD modeling

LGD modeling

EAD modeling

Credit risk

Education

BSc/MSc Mathematics, Mathematical Statistics, Statistics or Actuarial Science

Job description

Absa Group is seeking an experienced Model Development Manager to lead the end-to-end development of PD, LGD and EAD models for Regulatory Capital and IFRS9 impairments. You will supervise project delivery, coordinate with validation, credit, finance and audit teams, and mentor junior staff.

The role requires a strong quantitative background, 3–4 years in credit risk modelling and at least 2 years in team leadership, within a banking or consulting setting.