Quantitative Analyst - Retail Model Validation

nedbank; Johannesburg; On-site; ZAR 500,000 - 650,000; Full time

Job summary

A leading financial institution is seeking a candidate in Johannesburg to validate credit risk models and provide expertise in compliance and improvements. This role offers high visibility and the chance to work closely with senior modellers. Ideal candidates will have strong analytical skills, at least a year’s experience in retail risk modelling, and an honours degree in a quantitative discipline. The position also emphasizes culture, automation, and psychological safety.

Qualifications

• 1+ year Experience in Retail risk modelling, validation or credit management environment.
• Strong preference for AIRB or IFRS 9 modelling.

Responsibilities

• Validate credit risk models and data for compliance.
• Facilitate improvements in credit risk models and processes.
• Document findings and prepare balanced communications to stakeholders.

Skills

Business Acumen

Industry trends

Microsoft Office

Principles of project management

Relevant regulatory knowledge

Risk management process and frameworks

Business writing skills

Microsoft Excel

Quantitative Skills

Communication

Stress Tolerance

Driving for results

Technical/Professional Knowledge and Skills

Education

Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science

Job description

Job Purpose

The validation of the models used for the calculation regulatory and economic capital as well as credit impairments and the rating processes. This is to contribute to the goal of best practice models in line with regulations and accounting standards (where applicable) in order to facilitate world class risk management.

Job Responsibilities

The validation function provides in-depth exposure to the bank’s credit risk measurement models used for the calculation of regulatory and economic capital, as well as credit impairments. You will be focused on Retail credit models and interact with senior modellers on a regular basis. The role offers high visibility as analyses and reports will be tabled at board level committees, the South African Reserve Bank (SARB) and the bank’s internal and external auditors.

The validation function assures the Board, the external auditors of the bank and SARB of the high standard and regulatory compliance of the credit risk models, the rating processes and IFRS 9 impairment models. You will be required to provide constructive challenge to business and recommend improvements to models as a subject matter technical expert.

The ideal candidate will blend excellent communication, report writing, project management and general credit knowledge with solid technical expertise. Developing challenger models, assisting Nedbank to optimise the number of credit models, and developing your business knowledge will take the team to the next level.

Your analyses and reports are presented at Nedbank Group Board committees, the SARB and the bank’s internal and external auditors offering high visibility across the organisation. The divisional culture emphasises development, especially of leadership and behavioural skills, as well as embracing psychological safety. The team will focus on automation, machine learning and expansion into new areas such as credit risk loss forecasting, credit stress testing and anti-money laundering during the medium term. This provides opportunities for development and establishing an organisation wide reputation for the ambitious candidate.

Job Responsibilities Continue

• Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
• Provide input/assistance in the build and refinement of credit risk models within the business clusters.
• Independent development of models to assess potential for improvement on existing ones.
• Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice. Independently develop alternate PD, LGD, EAD models to that currently in use
• Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.
• Facilitate improvement in credit risk models and processes.
• Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
• Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board.
• Assisting management with various ad-hoc tasks, reports, specific deep dives, SARB communication and analysis.

Preferred Qualification

• Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.

Minimum Experience Level

• 1+ year Experience in Retail risk modelling, validation or credit management environment – with a strong preference for AIRB or IFRS 9 modelling.

Technical / Professional Knowledge

• Business Acumen
• Industry trends
• Microsoft Office
• Principles of project management
• Relevant regulatory knowledge
• Relevant software and systems knowledge
• Risk management process and frameworks
• Business writing skills
• Microsoft Excel
• Quantitative Skills
• Earning Trust
• Communication
• Stress Tolerance
• Driving for results
• Technical/Professional Knowledge and Skills

Preference recruiting team at [phone] will be given to candidates from the underrepresented groups.

Please contact the Nedbank Recruiting Team at [phone]

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Nedbank Ltd Reg No 1951/000009/06. Authorised financial services and registered credit provider (NCRCP16).