Manager - Credit Risk

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

The opportunity

We are currently recruiting for a Manager within our Financial Services Risk Management – Quantitative Advisory Services (QAS) team. The role will focus on credit risk. This includes credit risk modelling, credit risk model validation and the development of advanced analytical solutions for credit decisioning.

Manager: Credit Risk

The practice focusses on financial services across banking, insurance, and corporate treasuries.

Your Key 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 relevant industry topics

Client Responsibilities

• Participate in and, as required, lead FSRM client engagements


• Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives


• Develop client solutions based on a deep understanding and knowledge of clients’ business needs


• Develop informed views for clients on the implications of current and anticipated industry issues


• Generate new business sales through proactively managing key accounts, identifying new client opportunities and playing a significant role in developing and driving sales campaigns/solutions

People Responsibilities

• Live the EY values


• Act as a thought leader in the field of credit risk


• Lead engagement teams and accounts


• Develop people through effectively supervising, coaching and mentoring all junior levels of staff


• Provide learning and growth opportunities to staff and encourage the potential within all staff to take on challenging opportunities


• Conduct performance reviews and contribute to performance feedback for junior levels of staff


• Contribute to people initiatives including recruiting, retaining and training FSRM professionals


• Maintain an educational program to continually develop your own personal skills

Qualifications And Experience Required

• Relevant Masters (MComm / MSc /MPhil) or Honours degree in quantitative field like computer science, engineering, actuarial, statistics, mathematics, or related field


• Professional qualification (CFA / FRM / PRM / FIA / FASSA) a plus


• Sound understanding of quantitative methods and the application of these to financial risk management


• Sound understanding of data science methods


• A minimum of 5 years relevant working experience

Other Skills And Attributes For Success

• Strong analytical skills and statistical aptitude in a modelling environment


• Experience in the development, review and validation of credit risk models (PD, LGD, EAD, ECL) under IFRS 9 and Basel internal rating-based models is a plus


• Proficient in MS office


• Proficient in SAS


• Proficient in VBA, R or Python


• Innovative, creative thinking


• Robust project management skills


• Solid presentation skills


• Effective time management


• Strong writing skills


• Initiative and enthusiasm


• Responsibility and maturity


• People skills


• Professionalism


• Confidence to be client-facing


• Above average linguistic aptitude


• Ability to work under pressure


• Flexibility to accept change and adapt

What Working At EY Offers

• Work for a globally integrated firm of actuarial and quantitative professionals across more than 150 countries, enabling optimised and consistent views across the globe.


• Work with and have access to industry experts, whilst gaining exposure across multiple engagements and clients in the financial services sector.


• Develop both your technical expertise and other skills such as project and stakeholder management.


• Further your continuous professional development through our in-house learning platforms as well as our external learning study policy.


• Work in a company culture that values diversity and inclusiveness, flexibility, employee wellness and corporate social responsibility.


• Receive ongoing mentoring, support and guidance to optimise your professional growth and progress your career at EY.

About EY

As a global leader in assurance, tax, transaction and advisory services, we hire and develop the most passionate people in their field to help build a better working world. This starts with a culture that believes in giving you the training, opportunities and creative freedom to make things better. So that whenever you join, however long you stay, the exceptional EY experience lasts a lifetime.