Job Description

Requisition Details & Talent Acquisition Contact

REQ 131108- Tshego Semenya

Closing date: 30 January 2024

Location: Johannesburg

Cluster

Group Risk

Career Stream

Quantitative

Leadership Pipeline

Manage Self: Professional

Position

Senior Quantitative Analyst: Model Risk Assurance

Job Purpose

Model Risk Assurance plays a pivotal role in the validation, assurance and governance of non-regulatory risk models, ensuring the accuracy and reliability of the bankxe2x80x99s non-regulatory risk models and processes, thereby safeguarding the integrity of the banks risk management framework.

Performing validation of material non-regulatory models, which includes some of the following models:

• Credit acquisition(i.e origination models) and pricing
• Anti-money laundering (AML)
• Application fraud
• Collections
• Operational Risk
• Climate risk (fossil fuel ratios, carbon accounting and stress scenarios) and
• Macro-economic models

Providing thought leadership and guidance on model methodology and design, assisting to optimise the banks non-regulatory models.
The analyst will be required to provide constructive challenge to business and recommend improvements to models as a subject matter technical expert.
Developing challenger models, building business and product knowledge, researching best practice methodology, as well as automation of role related tasks are key components of this role.

Job Responsibilities

• Validation of non-regulatory models xe2x80x93 This includes quantitative and qualitative validation of the models, the governance as well as the data, together with the application thereof.
• Subject matter expert - Provide input/assistance in the build and refinement of relevant models.
• Model replication and reperformance - Independent development of models to assess potential for improvement on existing ones.
• Challenger models xe2x80x93 Independently develop challenger models, to help better understand strengths and shortcomings of xe2x80x9ccurrent in usexe2x80x9d models.
• Model Assurance xe2x80x93 Ensuring that calculations as well as model outputs, reports and associated commentary are accurate, reliable and fit for their intended purposes.
• Continuous learning - Keeping abreast with industry best practice as well as cutting edge modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice
• Liaising with the stakeholders - Liaising with the business, Credit, as well as senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.
• Change facilitation - Facilitate improvement in risk models and processes.
• Organisational learning - Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
• Documentation - 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.
• Ad-hoc - Assisting management with various adxe2x80x90hoc tasks, reports, specific deep dives, knowledge shares and analysis

Minimum Experience Level

• 5+ yearsxe2x80x99 experience in risk, quantitative or treasury modelling, validation environment xe2x80x93 with a strong preference for programming in python
• Statistical or mathematical modelling skills
• Programming skills: Python, SAS and SQL
• Matlab ,R, JS or Julia skills would be an added advantage
• Understanding of credit/financial modelling, scorecards, pricing models, machine learning and AI
• Knowledge of banking regulation e.g IFRS 9, Basel etc
• Knowledge of banking products (e.g vanilla loans, property finance, equities etc)
• MS Office, particularly Excel (advanced user)

Essential Qualifications - NQF Level

• Advanced Diplomas/National 1st Degrees

Preferred Qualification

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

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

Disclaimer

Preference will be given to candidates from the underrepresented groups

Please contact the Nedbank Recruiting Team at +27 860 555 566



Please contact the Nedbank Recruiting Team at +27 860 555 566

Nedbank