Model Development Analyst at Barclays Africa Group Limited

Job description

Credit Risk Models for the Wholesale Portfolio as well as Operational Risk and Risk Aggregation Models for BAGL. This includes, but not limited to:

• PD,LGD and EAD Models for Regulatory Capital
• Economic Capital
• IAS 39 and IFRS 9 Impairments
• Macro-economic variable modelling
• Stress-testing
• Forecasting
• Pricing
• Integrated Planning

Strong academic background:

• BSc Honours Mathematics and Accountancy
• BMI
• BSc Honours Mathematical Statistics / Science
• BSc Statistics
• BSc Applied Mathematics
• Actuaries
• Model Development Analyst experience
• Develop Credit Risk and Operational Models
• Develop Market Risk models
• Potentially develop challenger models for validation of Credit Risk and Operational Risk
• Ability to build statistical model either using SAS (preferred) or Matlab
• Ability to document the model developed in an unambiguous and concise manner