Specialist: Quantitative Analytics at Nedbank

Job Purpose

To develop and maintain best practice models and assessment strategies in line with regulations (where applicable) in order to facilitate world class risk managementand attainment of strategic objectives. Provide input into strategic objectives and ensure delivery thereof.

Job Responsibilities

• Development of new models and methodologies to ensure the models in place in the business are best-practice and enhance business decisions.
• Monitoring and validation of all models according to group requirements.
• Refinement and calibration of models on a regular basis.
• Documentation of models as per group requirements.
• Ensuring data collection and refinement to assist in model enhancements.
• Monitoring successful implementation of models within business areas.
• Ensuring the adequacy and effectiveness of Nedbank Private Wealth governance, risk management and internal control processes with regards to the credit models.
• Ensure that all relevant and approved models, with rules to determine the appropriate use are implemented.
• Monitor use of models within the business and systems to ensure correct application
• Ad hoc work to verify information on systems / identify breakdown in process or use of models.
• Management of the storage of all model details - data files, versioning etc.
• Research into latest methodologies and benchmarking against best-practice to ensure continuous improvements in the modelling.
• Monitoring of ratings across the business units including review of accuracy and ensuring a robust rating process.
• Reporting into SARB on models.
• Specialist expert advice and technical input in terms of model development and validation.
• Facilitating business unit involvement in all model related work (development, calibration, validation etc) to ensure buy-in and sign-off is obtained.
• Appropriate education of relevant parties, ensuring adequate knowledge pertaining to the use of models - including development/ maintenance of supportive material, training sessions, ongoing communication and query resolution
• Providing guidance in terms of the business unit rating processes.
• Providing support to the business units for model or analytic type work.
• Advise on statistical techniques and on financial products and instruments that are relevant to stakeholders
• Assist and facilitate internal audit, external audit and Credit Models Validation Unit in performing their duties.
• Attending Wholesale Technical Forum / Retail Technical Forum.
• Attending relevant meetings and other committees (such as the Group Credit Committee).
• Facilitation and preparation for SARB onsite visits.
• Reporting on progress, initiatives, issues and plans to relevant forums.
• Participation in key projects, steering committees, DCC's and industry forums.
• Management of complex stakeholder relationships across the bank.
• Development and maintenance of relevant Pricing models aligned to Nedbank Private Wealth business and meeting Group governance requirements
• Effective Capital Management (including reporting & forecasting of regulatory and economic capital)
• Credit risk targets (including setting, monitoring & stress testing)
• Scenario analysis on capital requirements for inclusion in Group ICAAP document

People Specification

• Essential Qualifications - NQF Level
• Advanced Diplomas/National 1st Degrees

Preferred Qualification

• Post graduate degree in Statistics/Mathematics,  CFA/ FRM/CQF

Essential Certifications

• Preferred Certifications
• Minimum Experience Level
• 6 years relevant quantitative analytical experience in the financial industry.

Technical / Professional Knowledge

• Industry trends
• Microsoft Office
• Relevant regulatory knowledge
• Relevant software and systems knowledge
• Risk management process and frameworks
• Business writing skills
• Microsoft Excel
• Knowledge of risk
• Quantitative Skills
• Systems knowledge
• Behavioural Competencies
• Earning Trust
• Coaching
• Customer Focus
• Decision Making
• Innovation
• Continuous Improvement
• Technical/Professional Knowledge and Skills