Senior Credit Risk Modeler & Validator

EY; Johannesburg, Cape Town; On-site; CAD 77,000 - 103,000; Full time

Benefits offered by this job

Education & coaching

Career progression

Flexible environment

Job summary

EY is seeking a Credit Risk Senior Associate in South Africa, with Johannesburg or Cape Town as possible locations. You will work within the Quantitative Advisory Services team, delivering credit risk, market risk and data science solutions for banks, insurers and corporate clients.

Your role covers model design, validation and impairment assessments, plus client engagement and business development. You will apply SAS, R or Python to build insights, develop pricing and economic capital models,

Qualifications

• Qualifications: Relevant Honours or Masters level degree
• Professional qualification (CFA / FRM / PRM / FIA / FASSA) a plus
• A minimum of 3–4 years relevant working experience
• Proficiency in SAS, R or Python

Responsibilities

• Design, review and validate credit risk models (PD, LGD, EAD, ECL) under IFRS 9
• Design, review and validate Basel IRB models
• Credit impairment assessment and due diligence reviews
• Create data visualisations and generate insights
• Design and review credit risk pricing models
• Design and review economic capital models
• Engage with clients and deliver client solutions
• Develop informed views on industry issues
• Support sales campaigns and new business opportunities

Skills

SAS/R/Python proficiency

3–4 years experience

Honours or Masters

Education

Honours/Masters (MCom/MSc/MPhil)

CFA/FRM/PRM/FIA/FASSA a plus

Tools

SAS

R

Python

Job description

EY is seeking a Credit Risk Senior Associate in South Africa, with Johannesburg or Cape Town as possible locations. You will work within the Quantitative Advisory Services team, delivering credit risk, market risk and data science solutions for banks, insurers and corporate clients.

Your role covers model design, validation and impairment assessments, plus client engagement and business development. You will apply SAS, R or Python to build insights, develop pricing and economic capital models,