Quantitative Analyst

Job Description:

The validation of the models used for the calculation regulatory and economic capital as well as credit impairments and the rating processes. This is to contribute to the goal of best practice models in line with regulations and accounting standards (where applicable) in order to facilitate world class risk management.

Job Responsibilities:

• Validation of credit risk models and processes – Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
• Continuous learning – Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice. Independently develop alternate PD, LGD, EAD models to that currently in use.
• Subject matter expert – Provide input/assistance in the build and refinement of credit risk models within the business clusters.
• Enhancements to existing models – Independent development of models to assess potential for improvement on existing ones.
• Liaising with the stakeholders – Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.

Job Requirements:

• Statistical or mathematical modelling skills
• 1-2 years experience in Retail risk modelling, validation or credit management environment – with a strong preference for AIRB or IFRS 9 modelling
• Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach
• Honours degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline.
• Advanced Diplomas/National 1st Degrees