Analyst Model Developer at Absa Group Limited (Absa)

Job Summary

• Data Analytics, Problem Solving, Model Building. Raise your hand if these excite.
• We are looking for someone to be part of a dynamic team that manages the development and continuous enhancement of Retail IFRS 9 and Regulatory models. You will be exposed to the entire credit risk model build, implementation and governance lifecycle.

Job Description

Accountability: Model development (50%)

• Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures
• Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly
• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review questions and reworking the model build to include issues raised.
• Provide and detail appropriateness, perform and report impact analysis and recommend the use of both internal existing corporate models as well as external industry standard models available e.g. KMV portfolio Manager, Credit Metrics, etc
• Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained
• Ensure model compliance with Absa Group governance standards by following and adhering to standards
• Communicate results and recommendations from analysis and modeling undertaken to other areas of Group Credit Risk, SBUs & cluster by tailoring the interpretation to the audience and using appropriate presentation technology and templates
• Enhance model usage through strategy and policy recommendations to the Credit Risk team.

Accountability: Stakeholder management (15%):

• Actively engage stakeholders (model users, validation team, monitoring team, auditors, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions
• Generate appropriate challenge on model builds from around the cluster by discussing model build detail and ideas
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions
• Convert data extracts into relevant reports and data sets as required. This includes compiling Management Information (MI) and ad-hoc queries while adhering to agreed deadlines.
• Explaining methodologies and data feeds to SARB and their representatives

Accountability: Consultancy (10%)

• Compile trend analysis for "AS IS" and "TO BE" scenarios by statistically comparing different scenarios. Use these analyses to make recommendations around next steps or decisions to be taken.
• Support business forecasting and extrapolations by assisting in analyses as required by business
• Create value added knowledge of data and process by analysing information obtained from the Risk Data Store

Accountability: Governance and Adherence (10%)

• Provide general consultancy for credit risk matters within the cluster, including validation and challenge models
• Ensure best practice modelling techniques are in place by liaising with other BUs and consulting with strategy software suppliers

Accountability: Leadership (10%)

• Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback.
• Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources.
• Contribute to the development of a high-performance culture
• Participate in planning, resource allocation, training and team-building functions

Accountability: Continuous self-development and growth (5%)

• Stay abreast of knowledge and skills relevant to the level and area of work, and actively seek to attain those required for the next level of work.
• Improve corporate performance by considering influencing events, quantifying the impact on corporate performance and proactively finding.

Education: 

• Bachelors Degree in Mathematics, Statistics, BMI or Actuarial Sciences

Experience:

• We are seeking candidates with 2-3 years of experience at a junior specialist level in a similar environment. Knowledge of impairment modelling and proficiency in SAS would be highly advantageous.

Education

• Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)