Old Mutual was established in Cape Town in 1845 as South Africa's first mutual life assurance society. Our purpose is to help our customers thrive by enabling them to achieve their lifetime financial goals, while investing their funds in ways that will create a positive future for them, their families, their communities and broader society.
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
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