Analyst Model Development - Johannesburg

Jhb CBD

Education and Experience Required
• NQF Level 7: Honours/Masters Degree: Honour's Degree in Financial Mathematics / Statistics /BSc / BCom in Financial Mathematics / Statistics
• Working towards a further Post Graduate Degree / Additional qualification
• Practical data / programming courses
Knowledge & Skills:

• Credit model development: Development methods; Model fitting techniques; Rating methodologies.
• Detailed knowledge of corporate lending, including principles of risk management.
• Multivariate statistical techniques
• Mathematical/Statistical programming
Advanced data analysis and problem solving skills

Ensure that all activities and duties are carried out in full compliance with
regulatory requirements, Enterprise Wide Risk Management Framework
and internal Policies and Policy Standards.
Understand and manage risks and risk events (incidents) relevant to the
Role.


Accountability: Model development (50
• Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures
• Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly
• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Model Risk Policy. This includes responding to Independent Review questions and reworking the model build to include issues raised.
• Provide and detail appropriateness, perform and report impact analysis and recommend the use of both internal existing corporate models as well as external industry standard models available e.g. KMV portfolio Manager, Credit Metrics, etc
• Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained
• Ensure model compliance with Group governance standards by following and adhering to standards
• Communicate results and recommendations from analysis and modeling undertaken to other areas of Group Credit Risk, SBU’s & cluster by tailoring the interpretation to the audience and using appropriate presentation technology and templates
• Enhance model usage through strategy and policy recommendations to the Credit Risk team.


Accountability: Stakeholder management (15
• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions
• Generate appropriate challenge on model builds from around the cluster by discussing model build detail and ideas
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions
• Convert data extracts into relevant reports and data sets as required. This includes compiling Management Information (MI) and ad-hoc queries while adhering to agreed deadlines.
• Explaining methodologies and data feeds to SARB and their representatives

Accountability: Consultancy (10
• Compile trend analysis for "AS IS" and "TO BE" scenarios by statistically comparing different scenarios. Use these analyses to make recommendations around next steps or decisions to be taken.
• Support business forecasting and extrapolations by assisting in analyses as required by business
• Create value added knowledge of data and process by analysing information obtained from the Risk Data Store
Accountability: Governance and Adherence (10
• Provide general consultancy for credit risk matters within the cluster, including validation and challenge models
• Ensure best practice modelling techniques are in place by liaising with other SBU’s and consulting with strategy software suppliers
Accountability: Leadership (10
• Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback.
• Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources.
• Contribute to the development of a high-performance culture
• Participate in planning, resource allocation, training and team-building functions

Accountability: Continuous self-development and growth (5