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Senior Manager - Credit Risk Analyst

Employer
Top Talent Recruitment
Location
Johannesburg Johannesburg Gauteng, South Africa
Salary
Competitive
Closing date
Nov 29, 2021

View more

Job Role
Manager
Sector
Finance
Contract Type
Permanent
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Do you have an Appetite for Credit Risk Regulatory Modelling? Do you have a knack for Analytics and solutioning for client needs ?

THEN THIS MAY BE THE NEXT STEP FOR YOUR CAREER!
Description
You will be involved in the following:
  • The preparation, analysis, and validation of model development data
  • The conceptual design of a modelling approach and model architecture, including model principles, quantitative methods, and underlying assumptions
  • The development of model code, e.g., SAS
  • Producing full model development documentation and communication material
  • Producing high-quality model review / audit / validation reports
  • Participating in content discussions with stakeholders such as credit specialists, independent validators and auditors
  • Supporting models throughout the model lifecycle, including governance and approval processes

Skills/ Qualifications you will need:
  • Strong quantitative background with solid skills (+5 years) in regulatory capital (A-IRB/RWA - PD, LGD, EAD) and/or impairments (IFRS9 - lt. ECL)
  • Consulting experience, with track record of project management and delivery
  • A strong understanding of retail or wholesale banking portfolios and operations such as the credit decisioning, credit process and portfolio management process
  • Strong analytical skills and a post graduate qualification in a quantitative discipline (e.g. statistics, actuarial science, financial mathematics, applied mathematics)
  • Additional experience in credit portfolio modelling, e.g., credit economic capital, loss forecasting, or credit risk stress testing may be beneficial
  • Applied working experience with developing and using programming languages (e.g. SAS, MATLAB, R, Python) and data structures
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