First National Bank IT / Telecom Jobs in Johannesburg
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Key Responsibilities:
Model Development
- Design, develop, and implement IFRS 9-compliant models for Expected Credit Loss (ECL), including Probability of Default (PD), Loss Given Default (LGD), Significant Increase in Credit Risk (SICR), forward-looking models (FLI), and Exposure at Default (EAD).
- Ensure models align with broader African countries' regulatory requirements and internal risk policies.
- Utilise statistical and econometric techniques to build robust, predictive models.
- Incorporate macroeconomic variables and forward-looking information into models.
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Model Validation
- Conduct rigorous validation of IFRS 9 models to ensure accuracy, reliability, and compliance.
- Include actuals vs expected, population stability of the model variables, Gini of the model and the like.
- Perform sensitivity analysis, stress testing, and back-testing of models.
- Address model deficiencies and implement enhancements as needed.
Model Monitoring
- Establish and maintain ongoing monitoring frameworks to assess model performance.
- Identify and report model drift, recalibration needs, or performance issues.
- Ensure timely updates to models in response to changes in economic conditions or regulatory guidelines.
Stakeholder Engagement
- Present model methodologies, validation results, and performance metrics to the Technical Committee and other governance forums.
- Engage internal and external auditors on topics related to broader Africa models.
- Communicate complex technical concepts to non-technical stakeholders clearly and effectively.
- Collaborate with internal teams (e.g., Risk, Finance, Audit) and external stakeholders (e.g., regulators, auditors).
Team Management
- Manage, mentor, and develop two junior model developers, providing technical guidance and fostering professional growth.
- Set clear objectives, conduct performance reviews, and ensure alignment with departmental goals.
- Promote a collaborative and innovative team culture.
- Regulatory and Compliance Oversight
- Stay updated on IFRS 9, Basel, and other relevant regulatory changes impacting model development.
- Ensure all models and processes comply with internal governance and external regulatory standards.
- Support audits and regulatory inspections by providing documentation and technical expertise.
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You will be an ideal candidate if you have:
- Minimum of 3 years of experience in credit risk modelling, with expertise in scoring, IFRS 9 ECL, Basel models, or related quantitative modelling.
- Strong knowledge of statistical modelling techniques, including Logistic Regression, Probability of Default (PD), Exposure at Default (EAD), Loss Given Default (LGD), and Survival Analysis.
- Proven ability to engage with auditors and explain complex technical concepts clearly and concisely.
- Experience with model calibration, validation, monitoring, and stress testing processes.
- Proficiency in programming languages/tools such as Python, R, SAS, or SQL is advantageous.
- Excellent analytical skills and attention to detail.
- Ability to work independently and collaboratively in a fast-paced environment.
Preferred Qualifications:
- Advanced degree (e.g., master’s or PhD) in Statistics, Mathematics, Data Science, or a related field.
- Prior experience in financial services or banking, particularly in credit risk.
- Familiarity with Basel III/IV frameworks and their application to credit risk modelling.
You will have access to:
- Opportunities to network and collaborate.
- Challenging Working
- Opportunities to innovate.
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We can be a match if you are:
- Curious & courageous - you are driven by always wanting to know more and learn more and you are brave enough to
- Obsessed with mastery - you know what it takes to become good at what you do and are constantly pushing yourself to do it.
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