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