Absa Group Limited (Absa) has forged a new way of getting things done, driven by bravery and passion, with the readiness to realise the possibilities on our continent and beyond.
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Join a diverse team of dynamic model developers. We are looking for an experienced Model Development Analyst with a background as a quantitative analyst developing PD, LGD and EAD models for Impairments (IFRS9 ECL) and Regulatory Capital (Basel) in a banking or consulting environment.
Job Description
You will be responsible for supporting the development and continuous enhancement of impairment (IFRS9 ECL) and Regulatory Capital (Basel) models within a retail portfolio, contributing to the entire credit risk model build, implementation, and governance lifecycle.
You will be part of a team of model developers and your role will include developing models, testing model build data, performing and reporting impact analysis, and producing detailed model build documentation.
You will be accountable for ensuring that all activities and duties are carried out in full compliance with policies, procedures and regulations.
You will also play an active role in sharing insights on the models for which you are responsible (e.g. on the data used to build the model, model drivers, and methodology) as well as transferring knowledge and experience to other team members and peers.
Your ability to engage and effectively communicate with business stakeholders is key.
A successful candidate will hold at least a degree in Mathematics, Actuarial Science, Statistics, Business Mathematics and Informatics (BMI) or a related field with a minimum of 2 years’ experience in credit risk model development in a retail environment. Experience in SAS is preferred
Education
Bachelor Honours Degree: Actuarial Science (Required), Bachelor Honours Degree: BMI - Business Management and Informatics (Required)
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