Data Scientist III at FNB South Africa

Key Responsibilities: 

Model Development

• Design, develop, and implement IFRS 9-compliant models for Expected Credit Loss (ECL), including Probability of Default (PD), Loss Given Default (LGD), Significant Increase in Credit Risk (SICR), forward-looking models (FLI), and Exposure at Default (EAD).
• Ensure models align with broader African countries' regulatory requirements and internal risk policies.
• Utilise statistical and econometric techniques to build robust, predictive models.
• Incorporate macroeconomic variables and forward-looking information into models.

Model Validation

• Conduct rigorous validation of IFRS 9 models to ensure accuracy, reliability, and compliance.
• Include actuals vs expected, population stability of the model variables, Gini of the model and the like.
• Perform sensitivity analysis, stress testing, and back-testing of models.
• Address model deficiencies and implement enhancements as needed.

Model Monitoring

• Establish and maintain ongoing monitoring frameworks to assess model performance.
• Identify and report model drift, recalibration needs, or performance issues.
• Ensure timely updates to models in response to changes in economic conditions or regulatory guidelines.

Stakeholder Engagement

• Present model methodologies, validation results, and performance metrics to the Technical Committee and other governance forums.
• Engage internal and external auditors on topics related to broader Africa models.
• Communicate complex technical concepts to non-technical stakeholders clearly and effectively.
• Collaborate with internal teams (e.g., Risk, Finance, Audit) and external stakeholders (e.g., regulators, auditors).

Team Management

• Manage, mentor, and develop two junior model developers, providing technical guidance and fostering professional growth.
• Set clear objectives, conduct performance reviews, and ensure alignment with departmental goals.
• Promote a collaborative and innovative team culture.
• Regulatory and Compliance Oversight
• Stay updated on IFRS 9, Basel, and other relevant regulatory changes impacting model development.
• Ensure all models and processes comply with internal governance and external regulatory standards.
• Support audits and regulatory inspections by providing documentation and technical expertise.

You will be an ideal candidate if you have: 

• Minimum of 3 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 clearly and concisely.  
• Experience with model calibration, validation, monitoring, and stress testing processes.  
• Proficiency in programming languages/tools such as Python, R, SAS, or SQL is advantageous.  
• 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.

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.