Head: CIB Regulatory Capital Model Development at Absa South Africa

Job Description

Role description: 

• Lead the development of CIB regulatory credit capital models (PD, LGD and EAD) and methodologies, ensuring they are effective in assessing credit risk and comply with regulatory and ABSA requirements. 
• Manage a team of model developers, providing leadership, coaching, and development opportunities to team members. 
• Collaborate with other teams, such as risk management, finance, and business units, to ensure that credit risk models are integrated into the broader risk management framework. 
• Work with external vendors and consultants, as necessary, to ensure that the institution has access to the latest modeling techniques and data sources. 
• Monitor the performance of credit risk models and adjust, as necessary, to ensure their effectiveness. 
• Provide guidance and advice to senior management on credit risk modeling issues. 
• Provide training to stakeholders on credit risk regulations and credit risk models. 
• Ensure models are compliant with validation, testing and governance processes. 
• Stay abreast of regulatory requirements and industry best practices related to credit risk modelling. 
• Ensure successful implementation of models by assisting the model implementation team with technical and implementation testing support. 

Qualifications and skills required: 

• Advanced degree (BSc Hons) in a quantitative field, such as mathematics, statistics, or mathematics in finance. 
• At least 10 years of experience in credit risk modeling, with a strong understanding of modeling techniques and methodologies. 
• Previous experience leading a team of model developers. 
• Knowledge of IRB regulatory requirements related to credit risk modeling, including Basel III/IV. 
• Strong analytical and problem-solving skills. 
• Excellent communication skills, with the ability to explain complex concepts to non-technical stakeholders. 
• Ability to work collaboratively with other teams and stakeholders. 
• Strong project management skills, with the ability to manage multiple projects simultaneously. 

Education

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