Lead Credit Risk Modeling & Validation

EY; Johannesburg; On-site; ZAR 1,200,000 - 1,800,000; Full time

Job summary

EY Johannesburg is seeking a Manager in Financial Services Risk Management – Quantitative Advisory Services focused on credit risk. The role covers credit risk modelling, model validation and development of advanced analytical solutions for credit decisioning.

You will lead and participate in client engagements across banking, insurance and treasuries, build long-term relationships and contribute to thought leadership in credit risk and regulatory capital modelling.

Qualifications

• Masters (MCom / MSc / MPhil) or Honours in quantitative field such as computer science, engineering, actuarial, statistics or mathematics
• Professional qualification (CFA/FRM/PRM/FIA/FASSA) is a plus
• Strong knowledge of quantitative methods and financial risk management
• Data science methods understanding

Responsibilities

• Development and validation of credit risk models (PD, LGD, EAD, ECL) under IFRS 9
• Credit impairment assessment and due diligence reviews
• Create visualisations of data and generate in-depth insights
• Review and validation of Basel internal rating-based models
• Regulatory capital modelling
• Design and review of credit risk pricing models
• Development of thought leadership material on industry topics
• Lead and participate in client engagements in FSRM

Skills

Credit risk modelling

Data science methods

Model validation

PD/LGD/EAD/ECL

Education

Masters in quantitative field

Honours degree

Tools

SAS

VBA

R

Python

Job description

EY Johannesburg is seeking a Manager in Financial Services Risk Management – Quantitative Advisory Services focused on credit risk. The role covers credit risk modelling, model validation and development of advanced analytical solutions for credit decisioning.

You will lead and participate in client engagements across banking, insurance and treasuries, build long-term relationships and contribute to thought leadership in credit risk and regulatory capital modelling.