Data Scientist II at FNB South Africa

Job Description

• To plan, build, optimise and implement innovative quantitative analytical methodologies, procedures, products and advanced mathematical models that provide analytical support and interpret insights, to address business opportunities and problems and implement business strategy, with minimal guidance.

Are you someone who can:

• Collaborate with auditors to provide detailed insights into IFRS 9 models, methodologies, and processes.  
• Perform model calibrations to ensure accuracy and alignment with business and regulatory needs.  
• Conduct model validation and ongoing monitoring to assess performance and identify areas for improvement.  
• Design and build robust credit risk models to support IFRS 9 ECL calculations and other risk frameworks.  
• Execute stress-testing scenarios to evaluate model resilience under adverse conditions.  
• Support the development and enhancement of modelling frameworks to meet evolving regulatory and business requirements.

You will be an ideal candidate if you have:

• Minimum of 2 years of experience in credit risk modelling, with expertise in scoring, IFRS 9 ECL, Basel models, or related quantitative modelling.  
• Strong knowledge of statistical modelling techniques, including Logistic Regression, Probability of Default (PD), Exposure at Default (EAD), Loss Given Default (LGD), and Survival Analysis.  
• Proven ability to engage with auditors and explain complex technical concepts in a clear and concise manner.  
• Experience with model calibration, validation, monitoring, and stress testing processes.  
• Proficiency in programming languages/tools such as Python, R, SAS, or SQL is an advantage.  
• Excellent analytical skills and attention to detail.  
• Ability to work independently and collaboratively in a fast-paced environment.

Preferred Qualifications:  

• 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.  
• Familiarity with Basel III/IV frameworks and their application to credit risk modelling.

End Date: October 21, 2025