OMF Senior Quantitative Analyst: Credit & Impairment Specialist at Old Mutual South Africa

Job Description

If you are looking for a company that offers great culture, leadership, learning opportunities, challenges, rewards, and recognition, then look no further than Old Mutual.

Opportunity

• The role is responsible for the development, analysis, monitoring and maintenance of impairment and loan valuation models and reporting for a retail portfolio. This includes responsibility for:
• Redevelopment or calibration of EAD, PD, LGD, FLI and models,
• Impairment reporting
• Loan valuation
• Portfolio analysis
• Model monitoring and reporting
• Model governance
• Develop new and periodically recalibrated in-use PD, EAD, and LGD models.
• Development of macroeconomic models using forward-looking information.
• Develop and maintain loan valuation models.
• Maintain adequate technical documentation regarding the modeling methodologies used in the valuation and impairment models.
• Keep the code repository up to date with all model changes.
• Continuously seek ways to improve the modeling methodology by remaining aware of the latest regulations, accounting standards (IFRS9, Basel), relevant regulatory guidance notes, and quantification methods.
• Provide insight to stakeholders.
• Assist with the governance process to obtain approval for new and enhanced models at technical committees, model approval committees, auditors, and the bank’s regulators. 
• Presentation of analytical results and proposals to both technical and non-technical committees, providing commentary as required

Competencies needed for this role.

• Big data manipulation and management
• Providing insights to various stakeholder
• Interpreting data
• Process automation
• Documenting facts
• Multitasking
• Challenging ideas
• Coding in statistical packages

Minimum Criteria:

• Degree in Stats/Math/Applied Maths/Financial Risk Management/Data Science/Engineering or related disciplines
• Minimum 4 working within a model development/ data validation impairment or regulatory capital environment
• R, SQL, MATLAB, SAS, and Python experience advantageous