Lead Model Development Manager: PD/LGD/EAD

absa; Johannesburg; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

Absa 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 within a banking context. You will own project delivery, governance and collaborations with validation, credit, finance and audit teams.

The role requires 3–4 years in credit risk modelling and at least 2 years leading modelling initiatives, with strong analytical and communication skills and a commitment to mentoring junior analysts.

Qualifications

• 3-4 years hands-on credit risk modelling experience (PD/LGD/EAD).
• 2+ years leading model development projects or teams.
• Proven knowledge of Regulatory Capital and IFRS9 modelling.
• Ability to explain technical concepts to non-technical stakeholders.
• Experience mentoring junior analysts.

Responsibilities

• Take ownership of end-to-end model development lifecycle.
• Lead calibration, enhancement and documentation of PD, LGD and EAD models.
• Coordinate delivery timelines across multiple modelling initiatives.
• Ensure compliance with regulatory requirements and internal policies.
• Manage risks and incidents in the modelling process.
• Collaborate with validation, credit, finance and audit teams.
• Share expertise and mentor team members; support talent development.
• Stay updated on industry trends and regulatory changes.

Skills

Quantitative modelling

PD LGD EAD models

Model development leadership

Regulatory capital knowledge

Communication skills

Mentoring

Education

BSc/MSc Mathematics/Statistics/Actuarial Science

Job description

Absa 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 within a banking context. You will own project delivery, governance and collaborations with validation, credit, finance and audit teams.

The role requires 3–4 years in credit risk modelling and at least 2 years leading modelling initiatives, with strong analytical and communication skills and a commitment to mentoring junior analysts.