Manager Quantitative Risk and Modelling

Bidvest Bank; Sandton; On-site; ZAR 800,000 - 1,200,000; Full time

Job summary

A prominent banking institution seeks a skilled professional to govern quantitative risk and regulatory models. The ideal candidate will possess advanced analytical capabilities to drive model validation, compliance, and effective collaboration with key regulatory bodies. You will lead the end-to-end governance of credit and market risk models, ensuring alignment with financial regulations while promoting a robust risk management culture. This role demands a strong educational background in relevant quantitative fields, with substantial banking experience. Your contributions will be pivotal in enhancing decision-making and safeguarding the bank's risk appetite.

Qualifications

• 5-8 years quantitative Risk and modelling within a banking environment.
• Experience with regulatory frameworks (IFRS 9, Basel, Banks Act).

Responsibilities

• Govern and lead the strategic development and automation of quantitative risk models.
• Support collaboration with auditors and regulatory stakeholders.
• Lead advanced quantitative analysis and automate reporting processes.

Skills

Advanced quantitative modelling expertise

Proficiency in developing and validating models

Strong command of Basel III/IV frameworks

Advanced coding capabilities in Python, VBA, C#, SAS, R

Model performance metrics understanding

Ability to interpret strategy into model design

Education

BSc in Financial Mathematics, Actuarial Science, Econometrics, Statistics, Physics or Economics

Certifications in Financial Risk Management (FRM) or Chartered Financial Analyst (CFA)

Job description

PRIMARY PURPOSE

Govern and lead the strategic development, execution and automation of all quantitative risk and regulatory models across the bank. Drive regulatory alignment and risk-informed decision-making across IFRS 9 and market valuation-and risk models. Represent the bank at ALCO, EXCO-level forums, and external audit engagements on model governance matters.

TECHNICAL COMPETENCY REQUIREMENT

• Advanced quantitative modelling expertise in credit risk and a good understanding of models used in financial markets for valuation and risk quantification.
• Strong command of Basel III/IV frameworks and regulatory return frameworks (e.g., BA 200, BA 330).
• Proficiency in developing, validating, and defending models with a focus on IFRS 9, SA-CCR, Market Valuation and stress testing models.
• Understanding of economic capital modelling, capital forecasting, and scenario analysis.
• Advanced coding capabilities in relevant languages (ex. Python, VBA, C#, SAS, R)
• Demonstrated ability to automate quantitative processes.
• Strong data transformation and warehousing understanding, including reconciliation across risk and finance.
• Deep understanding of model performance metrics and model limitation disclosures.
• Experience with FIS (Risk Management Platform) and Reuters Eikon for market and credit data is beneficial.
• Ability to interpret strategy into model design and deliver analytics that support ALCO, Risk Committee, and Board decision-making.
• Proven ability to prepare and present model documentation to regulators and auditors under scrutiny would be beneficial.
• Track record of regulatory engagement with the Prudential Authority and external audit would be beneficial.
• Contributor to key governance forums for example Model Risk Forums or ALCO.

REQUIRED MINIMUM EDUCATION AND TRAINING

• BSc of relevant BCom Degree in Financial Mathematics, Actuarial Science, Econometrics, Statistics, Physics or Economics
• Certifications in Financial Risk Management (FRM) or Chartered Financial Analyst (CFA) strongly preferred.

REQUIRED MINIMUM WORK EXPERIENCE

• 5-8 years quantitative Risk and modelling within a banking environment with demonstrable expertise in capital, credit, and/or market risk models. Must include experience with regulatory frameworks (IFRS 9, Basel, Banks Act)

KEY PERFORMANCE AREA (KPA)

Financial Management

• Reconcile IFRS 9 outputs against financial disclosures and internal control totals.
• Streamline model implementation

Stakeholder /Client Management

• Support effective collaboration with external auditors, the Prudential Authority, and regulatory stakeholders to ensure model integrity and compliance.
• Enable informed decision-making by communicating model impacts clearly to Exco, ALCO, and Risk Committees.

Data Management

• Lead advanced quantitative analysis across credit and market.
• Develop and automate complex statistical models and forecasting tools to inform capital planning, ICAAP, IFRS 9, and portfolio optimization.
• Govern and refine analytical processes to support the bank’s risk appetite framework and business strategy execution. Perform predictive analytics, trend analysis, and early warning indicator modelling to anticipate emerging risks.
• Integrate macroeconomic stress testing and forward-looking scenario design into quantitative frameworks.
• Embed model outputs and analytics in business-critical processes such as pricing, provisioning, and capital allocation.
• Automate reporting pipelines where possible and enforce BCBS239-compliant data lineage and governance

Operational Excellence

• Lead the end-to-end governance of quantitative models used across credit risk, and market risk.
• Implement and automate a secure, auditable modelling environment to support version control, model traceability, and regulatory trace-back.
• Prepare defensible model documentation and validation reports for the Prudential Authority, external audit, and Exco presentations.
• Drive model performance testing, back testing, and challenger model development to ensure resilience in downturn scenarios.
• Lead the resolution of model risk, audit findings, and limitations through strategic refinements and governance committee alignment.
• Contribute to stress testing and scenario design for internal capital stress programs and board-aligned simulations.
• Apply BCBS239-compliant governance across model data sourcing, assumptions, parameter selection, and limitations.
• Champion model risk culture by contributing to policies, frameworks, and training for stakeholders across the bank.
• Own and execute the end-to-end IFRS 9 modelling process with precision, ensuring timeliness, data integrity, and regulatory alignment.
• Clean, transform, and validate large datasets across multiple systems to maintain audit-traceable model inputs.
• Collaborate with Risk, Finance, Credit, and Data teams to source, validate, and map key inputs including Watchlist and Risk Ratings
• Address and close external audit findings through robust controls, detailed documentation, and back tested evidence
• Embed IFRS 9 into strategic capital planning, stress testing, and provisioning frameworks across the Bank

Support the Chief Risk Officer (CRO), CFO (Chief Financial Officer and governance structures in the creation, maintenance, and enhancement of:
• The Recovery Plan
• Stress Testing and Scenario Framework
• Early Warning Indicators (EWI) and Trigger Framework
• ICAAP (Internal Capital Adequacy Assessment Process)
• IFRS 9 Governance Forum
• Scenario Working Group

Contribute to:
• Regulatory policy alignment and walkthroughs in anticipation of Prudential Authority engagements
• Preparation of regulatory submissions and internal readiness reviews
• Formal documentation for internal and external audit reviews, Risk and ALCO committees, and regulatory stakeholders

Reporting

• Lead the drafting of technical reports for senior management, model developers, bank regulators, ALCO (Asset and Liability Committee), Credit Committee, Risk and Capital Management Committee, Audit Committee, and the Board of Directors.
• Produce clear and defensible documentation for internal and external audit reviews, Risk and ALCO committees, and regulatory stakeholders.
• Develop processes and reporting frameworks to support strategic decision-making, incorporating model assumptions, scenario analysis, and risk-based justifications.
• Maintain policy and methodology documentation to align with best practices and supervisory expectations.
• Communicate complex model outputs in a concise manner to executive stakeholders and regulators.
• Present results to senior stakeholders and secure formal sign-off for internal and regulatory reporting

People Management

• Provide education, coaching, guidance, and technical training to employees, management, and relevant governance committees on regulatory modelling frameworks, internal model usage, and control expectations.
• Manage planning of resource requirements, ensure sufficient capable resources are in place to meet service delivery demands, maintaining the effective and efficient capability of the team.
• Build a high performing team where the best people are deployed in the right roles and deliver against strategy.
• Ensure that all employees are motivated and developed.
• Implement and maintain an effective system of internal controls and delegations of authority for the department, to ensure that accountability for decisions made.
• Inspire and engage employees around the vision and strategy of the Bank, maximising employee engagement and willingness to invest discretionary effort.
• Maintaining departmental structures, processes, and resources.

• Support knowledge transfer for model implementation, validation outcomes, risk quantification techniques, and IFRS 9 application.
• Take ownership for driving own career development

This position is advertised in line with our commitment to Employment Equity.

Work condition: Office bound

Closing date: 23 July 2025