Lead IRB Credit Risk Modeler

Truffle; Sandton; On-site; ZAR 1,400,000 - 2,200,000; Full time

Job summary

Truffle seeks an IRB Model Developer to design and implement credit risk models for regulatory and internal capital purposes. This permanent, on-site role in Sandton offers end-to-end project ownership and collaboration with risk and business teams.

You will guide junior analysts, stay abreast of Basel II/III developments, and work with IT on deployment. Strong SAS/MATLAB/Python/R skills and a delivery mindset are essential.

Qualifications

• Eight+ years in a quantitative role.
• Retail credit risk modelling experience is advantageous.
• Strong statistical modelling and quantitative analysis skills.
• Proficiency with SAS, MATLAB, Python or R.
• Basic knowledge of Basel II/III and practical SA applications.
• Experience transferring knowledge to junior colleagues.
• Strong written, verbal and presentation skills; able to work independently and as part of a team.
• Delivery-focused, adaptable and eager to learn.

Responsibilities

• Design and develop credit risk models (PD, LGD, EAD, credit portfolio models).
• Lead modelling projects end-to-end and maintain development documentation.
• Provide modelling guidance to junior team members.
• Stay updated with credit risk developments, regulatory changes and best practices.
• Collaborate with independent model validation to assess performance and address deficiencies.
• Partner with Credit Risk, Finance and business stakeholders to integrate models into operating environments.
• Coordinate with IT and data teams on implementation, data quality and system integration.

Skills

Quantitative modelling

Statistical analysis

Problem solving

Communication & presentation

Education

Quantitative degree (Economics, Mathematics, Statistics or Engineering)

Tools

SAS

MATLAB

Python

R

Job description

Truffle seeks an IRB Model Developer to design and implement credit risk models for regulatory and internal capital purposes. This permanent, on-site role in Sandton offers end-to-end project ownership and collaboration with risk and business teams.

You will guide junior analysts, stay abreast of Basel II/III developments, and work with IT on deployment. Strong SAS/MATLAB/Python/R skills and a delivery mindset are essential.