Senior Quantitative Analyst at Nedbank

Job Purpose

Model Risk Assurance plays a pivotal role in the validation, assurance and governance of non-regulatory risk models, ensuring the accuracy and reliability of the bank’s non-regulatory risk models and processes, thereby safeguarding the integrity of the banks risk management framework.

Performing validation of material non-regulatory models, which includes some of the following models:

• Credit acquisition(i.e origination models) and pricing 
• Anti-money laundering (AML)
• Application fraud 
• Collections
• Operational Risk
• Climate risk (fossil fuel ratios, carbon accounting and stress scenarios) and 
• Macro-economic models 

Job Responsibilities

• Validation of non-regulatory models – This includes quantitative and qualitative validation of the models, the governance as well as the data, together with the application thereof.
• Subject matter expert - Provide input/assistance in the build and refinement of relevant models.
• Model replication and reperformance - Independent development of models to assess potential for improvement on existing ones.
• Challenger models – Independently develop challenger models, to help better understand strengths and shortcomings of “current in use” models.
• Model Assurance – Ensuring that calculations as well as model outputs, reports and associated commentary are accurate, reliable and fit for their intended purposes.
• Continuous learning - Keeping abreast with industry best practice as well as cutting edge modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice
• Liaising with the stakeholders - Liaising with the business, Credit, as well as senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.
• Change facilitation - Facilitate improvement in risk models and processes.
• Organisational learning - Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
• Documentation - Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board.
• Ad-hoc - Assisting management with various ad‐hoc tasks, reports, specific deep dives, knowledge shares and analysis

Minimum Experience Level

• 5+ years’ experience in risk, quantitative or treasury modelling, validation environment – with a strong preference for programming in python
• Statistical or mathematical modelling skills 
• Programming skills: Python, SAS and  SQL 
• Matlab ,R, JS or Julia skills would be an added advantage
• Understanding of credit/financial modelling, scorecards, pricing models, machine learning and AI 
• Knowledge of banking regulation e.g IFRS 9, Basel etc
• Knowledge of banking products (e.g vanilla loans, property finance, equities etc) 
• MS Office, particularly Excel (advanced user) 

Essential Qualifications - NQF Level

• Advanced Diplomas/National 1st Degrees

Preferred Qualification

• Honours degree in Statistics/Mathematics/Econometrics/Computer Science/Finance/Actuarial Science or related quantitative discipline
• Technical / Professional Knowledge
• Industry trends
• Microsoft Office
• Principles of project management
• Relevant regulatory knowledge
• Relevant software and systems knowledge
• Risk management process and frameworks
• Business writing skills
• Microsoft Excel
• Business Acumen
• Quantitative Skills