Model Development Analyst at Absa Group Limited (Absa)

Job Summary

• Part of the development team that performs development and continuous enhancement of Corporate and Investment Banking models for various asset classes such as large corporates, SMEs, Specialised lending etc. by taking part in the entire credit risk model build, implementation, monitoring and governance lifecycle.

Job Description

• 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.
• Ensure successful implementation of models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and assisting with testing to ensure the model is implemented correctly.
• Be part of the model monitoring process and continuous review of in-use models to ensure these are still performing to expectation and fit for continued use.
• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to independent review questions and reworking the model build to include issues raised.
• Communicate results and recommendations from analyses and modelling undertaken to other areas of Group Credit Risk, SBU’s & cluster by tailoring the interpretation to the audience and using appropriate presentation technology and templates.
• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions.
• Contribute to the development of a high-performance culture.
• Ensure best practice modelling and monitoring techniques are in place.
• Participate in planning, resource allocation, training and team-building functions.
• Be able to delve into data analysis, data manipulation, and the application of statistical and machine learning techniques.
• Proficient in at least one of the following programming languages-SAS, SQL, Python, or R.
• Possess at least a degree in Mathematics, Actuarial Science, Statistics, Business Mathematics and Informatics (BMI), or a related field.

Education

• Bachelor's Degree: BMI - Business Management and Informatics (Required), Bachelor Honours Degree: Actuarial Science