Data Scientist-1 at FNB South Africa

Job Description

• Seeking a candidate with a quantitative background and expertise in credit risk, IFRS 9 impairment modelling, and Expected Credit Loss (ECL) calculations to support stress testing and ICAAP processes for Broader Africa teams.

Are you someone who can:

Stress Testing & ICAAP:

• Develop and maintain a consistent credit risk stress testing framework to support bA teams in modeling and assessing the impact of stress testing and scenario analysis on ECL.
• Review and support bA teams’ execution of ICAAP stress testing exercises to evaluate impacts on credit losses, capital adequacy, and risk-weighted assets.
• Provide support and challenge to the modelling and outcomes of the annual ICAAP stress testing process as part of the bA stress testing working group.
• Provide insights into ECL trends and drivers, incorporating forward-looking indicators.
• Collaborate with Finance and Credit teams to ensure accurate IFRS 9 provisioning.
• Provide sign-off on modelling and assessments performed by in-country teams for stress testing.
• Review the overall outcome of stress testing, specifically the stress and volatility buffer, to inform capital targets.
• Review and challenge bA teams’ stress testing and capital management frameworks.

Stakeholder Engagement:

• Assist bA teams in presenting findings to senior management, risk committees, and regulators as required.
• Collaborate with Finance, Treasury, and Business Units to align stress testing outputs with strategic planning.

You will be an ideal candidate if you have:

• Quantitative background with strong experience in credit risk, IFRS 9 impairment modelling, and ECL calculations.
• Ability to work effectively across multiple countries and collaborate with diverse teams.
• Advanced degree (e.g., master’s or PhD) in Statistics, Mathematics, Data Science, or a related field.  
• Prior experience in financial services or banking, particularly in credit risk.  

You will have access to:

• Opportunities to network and collaborate.
• Challenging Working
• Opportunities to innovate.

We can be a match if you are: 

• Curious & courageous - you are driven by always wanting to know more and learn more and you are brave enough to
• Obsessed with mastery - you know what it takes to become good at what you do and are constantly pushing yourself to do it.

End Date: August 25, 2025