Job Purpose
The role involves validating models used for calculating regulatory and economic capital and credit impairments. This ensures compliance with best practice models, regulations, and accounting standards, supporting world-class risk management.
Job Responsibilities
- Validate credit risk models for regulatory and economic capital calculations.
- Interact regularly with senior modellers, presenting analyses and reports to high-level committees and regulators.
- Contribute to credit risk model improvements as a subject matter expert.
- Engage in model development, focusing on machine learning and new areas like credit risk forecasting.
- Document work and communicate findings to various stakeholders including the SARB and bank auditors.
Essential Qualifications
- Honours degree in Statistics, Mathematics, Econometrics, Finance, Actuarial Science, or related field.
- Experience in credit risk modelling and validation, with a preference for AIRB or IFRS 9 expertise.
Technical and Professional Knowledge
- Proficiency in statistical and mathematical modelling.
- Advanced Excel skills; knowledge of SAS, SQL, Python, or R is advantageous.
- Understanding of legislative requirements under the AIRB approach and IFRS 9 standards.
