Model Development Analyst at Absa

Job Summary

• It is certainly an exciting time to join the Absa Group as we embark on an exciting journey to achieve our growth ambitions as well as our AFRICANACITY agenda.  We are looking for a super talented Model Development Analyst, who will manage the development and continuous enhancement of Retail Application Scorecards and Pricing / Profitability models by playing an integral part in the entire credit risk model development, build, implementation and governance lifecycle.

Job Description

The purpose of the role is to be responsible for the development and continuous enhancement of credit risk models, specifically credit scorecards, pricing and profitability models across Absa’s Retail portfolios. To provide model building solutions whilst ensuring quality standards are being met and model integration with Information Technology (IT) systems.

Key accountabilities 

Model Development:

• Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures
• Produce a terms of reference proposal document for each new model development, prior to the commencement of the model build. This document details the entire model (underwriting, behavioral and impairment models) lifecycle, from initial model design, validation through to implementation of the final model i.e. all work that has been contracted with the modelling team.
• Ensure the quality and completeness of raw data and the representivity of samples used for model development by establishing data sources and measures taken (e.g. univariate analysis).
• Benchmark back to Group Modelling Requirements, to ensure that all documentation is in line with Group policies and standards (Group Model Risk Policy, and other relevant standards) on all model design aspects, including but are not limited to the following activities: delineation criteria for segments, a detailed description of the method/model type/architecture used, reasons for selecting the specific model type, a list of the best practice criteria used in the model development process and a description of the data set used in statistical model development.
• Develop models through Statistical analysis/model fitting and/or applying external model solution, whilst ensuring compliance with the following requirements: detail model architecture and list fundamental business assumptions, selection and assessment of model parameters (univariate and multivariate analysis), and employ multivariate analysis or other techniques to develop overall scoring function/model.
• Re-calibrate expected model outputs, for example probability of default (PD), exposure at default (EAD), loss given default (LGD) to their empericals by reestimating the underlying model associations and parameters based on recent data shifts.
• Determine and establish techniques for validating newly developed models in accordance with Group Model Risk Policy requirements and generally accepted academic techniques for the category of model being developed.
• List duties and responsibilities with regards to the model (model development, strategy formulation, implementation, etc.) as part of the final model documentation that is submitted to the Credit Risk Technical Committee (CRTC), or Retail Models Forum (RMF) for approval.
• Assess the newly developed models likely impact by performing the required analysis and communicating this to the respective stakeholders (for example Business Heads, Model Validation, Monitoring, and Governance). Furthermore, document the model comparison and impact analysis as part of the final model documentation submitted to CRTC.
• Address and respond to the independent reviewer model development issues arising from the independent review of the model. Furthermore, confirm to the CRTC that all high and medium issues arising from the independent review have been adequately addressed.
• Present models at the CRTC or other committee required for approval.
• Analyse and measure model outputs and investigate / challenge results.
• Propose innovative solutions to resolve business and model challenges
• Promote excellence within the team and utilize innovation and creativity to make a difference to Absa’s. Live the values.

Stakeholder management:

• Proactively liaise with all stakeholders, for example Business Heads, Model Validation, Monitoring, and Governance through for example meetings scheduled as part of the model terms of reference document to ensure that they are fully engaged in the development process and delivery of the model.
• Provide appropriate challenge on model builds from around the cluster through peer review participation
• Participate in discussions with key stakeholders across the business in order to understand issues, objectives and priorities, suggest and discuss potential solutions.

Ad-hoc Investigation and Evaluation: 

• Present results, if necessary, translating technical information into the language of the Business Manager. When appropriate recommend solutions/value generating opportunities for the business
• Identify and communicate any limitations found in new model builds and seek appropriate solutions to address limitations in future model builds

Education and Experience Required: 

• Relevant B. Degree in Maths/Statistics or Science or equivalent NQF level 7 qualification
• Experience of using modern software applications for data analysis and model fitting, including SAS and Excel

Preferred Experience:

• Post graduate degree or equivalent NQF level 8 qualification
• Experience within the banking sector
• Programming skills, expert knowledge of SAS or similar.
• Knowledge of external industry standard retail modeling solutions (Fair Isaac, Experian, PIC Solutions)

Knowledge & Skills: 

• Development of application scorecards
• Development of behavioral scorecards
• Knowledge of impairment and capital modelling
• Validation and monitoring of the above models
• Working knowledge of the business application of the above models into credit strategies

Competencies:

• Working with people
• Coping with pressure and setbacks
• Analyzing
• Presenting and communicating information
• Learning and researching
• Following instructions and procedures

Education

• Bachelor`s Degrees and Advanced Diplomas: Statistics (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.

Absa Bank Limited reserves the right not to make an appointment to the post as advertised