Senior Specialist: Model Risk And Analytics

African Bank; Gauteng; On-site; ZAR 600 000 - 800 000; Full time

Job summary

A leading financial institution in South Africa is seeking a Model Risk Manager. You will oversee the Model Risk Framework and ensure compliance with regulatory requirements. The ideal candidate has a BSC in Mathematical Sciences or Actuarial Science and at least 5 years of relevant experience. Strong analytical skills and proficiency in Excel, SQL, and Python are essential for success in this role.

Qualifications

• 5 years relevant experience.
• Experience in back testing and stress testing.

Responsibilities

• Support implementation of the Model Risk Framework.
• Perform independent validation of all models used.
• Ensure compliance with regulatory requirements.

Skills

Analytical skills

Financial modelling skills

Supervisory skills

Education

BSC in Mathematical Sciences or Actuarial Science (Honours Degree)

Tools

MS Office (Advanced Excel skills)

SQL

SAS

Python

Job description

Main Purpose of the Role To manage all model risk matters (2nd line of defense) together with risk analytics and quantitative modelling to support the Senior Manager of Model Risk & Analytics in providing assurance to the Head of Risk Governance & Analytics on all models utilised.

Key Responsibilities

Model Risk Governance

• Support the implementation and maintenance of the Model Risk Framework and related policies and standards to ensure alignment to global best practise and developments.
• Maintain the model inventory.
• Support the coordination of the Model Risk Governance committees including the collation of the documentation and packs.

Model Risk Assurance

• Perform the independent validation of all models utilised in the Group.
• IFRS9 Impairments models
• Treasury and Market Risk models
• Credit application and behavioural scorecards
• Lending, Affordability and Collections models
• Economic Capital models
• Forecast, Pricing and Profitability Models.
• Develop challenger and monitoring models where required.
• Lead the annual review of models.
• Stress testing and back testing of models.
• Data preparation for analytics.
• Documenting the process followed to determine findings from data retrieval to final outcomes.

Regulatory

Ensure compliance to all regulatory requirements related to Model Risk management.

Financial and People Management

• Manage and develop subordinates.
• Performance management in terms of contracting and reviews, poor performers.
• Training and development.
• Employee relations.
• Deal with and address related issues and complaints.

Customer and Compliance

Create and maintain productive relationships with internal and external clients by providing advice and assistance. Create understanding of the 'real' versus 'perceived' need through experience and expertise while complying with company policies legislation and regulations. Keep the client informed about progress through written communication, telephone communications and / or face to face meetings. Build a positive image by exceeding client expectations at all times. Treat internal and external customers fairly at all times.

Role Requirements

• BSC (Mathematical Sciences / Actuarial Science) (Honours Degree essential).
• 5 years relevant experience.
• Back testing and stress testing.
• Software: MS Office, with Advanced EXCEL skills; SQL; SAS; Python (or similar) critical.
• Strong Analytical & financial modelling skills.
• Supervisory skills.