Senior Quantitative Analyst

Nedbank; Sandton; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

To enhance and maintain the models used for the calculation of Credit RWA and IFRS9 impairments for the Retail portfolios. The incumbent will contribute to a team which specialises in a focus on credit risk

Nedbank is seeking a data-driven risk analytics professional to join the team and contribute to the ongoing development of capital and impairment analytics. Based in Sandton, the role emphasizes quantitative rigor and collaboration with internal stakeholders.

Qualifications

• Matric/Grade 12 with an advanced diploma or first degree.
• Strong quantitative and analytical abilities are required.
• Experience in credit risk analytics and model development is preferred.
• Knowledge of Basel and IFRS9 impairment methodologies is advantageous.

Responsibilities

• Provide MI, analysis and reporting on monthly capital and impairment results.
• Update EAD, PD and LGD models for Basel and IFRS9 purposes.
• Analytics around IFRS9 impairments.
• Analytics around Credit Capital (RWA/ECAP), including RWA attribution, ECAP vs. RWA analysis, ECAP optimisation.
• Stay abreast of developments in field, ensuring personal and professional growth.
• Deliver Nedbank vision and values, leading by example.
• Deliver services to internal client expectations.
• Build internal and external stakeholder relationships.
• Sharing knowledge and insights with team members.

Skills

Quantitative skills

Communication

Decision making

Coaching

Quality orientation

Business writing

Education

Matric / Grade 12 / National Senior Certificate

Advanced Diplomas/National 1st Degrees

3-year qualification in a Mathematical related BSc,Engineering,CFA, FRM, CQF

Tools

Microsoft Excel

Microsoft Office

Principles of project management

Regulatory knowledge

Risk management frameworks

Job description

To enhance and maintain the models used for the calculation of Credit RWA and IFRS9 impairments for the Retail portfolios.The incumbent will contribute to a team which specialises in a focus on credit risk

Job Responsibilities

Responsibilities include (but are not limited to):

• Provision of MI, analysis and reporting on monthly capital and impairment results
• Updates to EAD, PD and LGD models for Basel and IFRS9 purposes
• Analytics around IFRS9 impairments
• Analytics around Credit Capital (both RWA and ECAP), including, but not limited to, items such as RWA attribution development, ECAP vs. RWA analysis, ECAP optimisation
• Stay abreast of developments in field of expertise, ensuring personal and professional growth.
• Understand and embrace the Nedbank vision and values, leading by example.
• Deliver services to internal client expectations.
• Build internal and external stakeholder relationships.
• Sharing knowledge and insights with members of the team

Essential Qualifications - NQF Level

• Matric / Grade 12 / National Senior Certificate
• Advanced Diplomas/National 1st Degrees

Preferred Qualification

3-year qualification in a Mathematical related BSc,Engineering,CFA, FRM, CQF

Minimum Experience Level

At least 5 years relevant experience in an analytical environment

Model development experience - capital and/or impairments is preferred

Technical / Professional Knowledge

• 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
• Business Acumen
• Quantitative Skills
• Coaching
• Communication
• Decision Making
• Quality Orientation
• Technical/Professional Knowledge and Skills

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