Analyst, Capital & Impairments Modelling
Summary
Build and maintain credit risk models (PD, LGD, EAD) for regulatory capital in retail banking, ensuring compliance with governance and accounting rules.
To ensure the optimal development, enhancement, deployment, maintenance and monitoring of credit risk models for regulatory capital within Personal & Private Banking Capital and Impairment Model Development.
Ensure models developed are of high quality and the required governance of model changes, and accounting and Reserve Bank regulations are adhered to.
- Completed Matric
- Honours Degree - Actuarial Science; Mathematical Statistics; (Applied/Financial) Mathematics; Quantitative Risk Management; (Applied) Statistics
Experience
- 1 - 2 years' Experience with data mining and retail credit risk modelling. Technical model development and implementation experience in the banking sector. Experience in building PD, LGD and EAD models end-to-end, through to implementation. Understanding of the use and impact of capital models in retail banking or a retail lending environment. Understanding of the purpose and operation of capital models. Communication skills, in particular, communication of technical concepts to a non-technical audience. SAS and IFRS 9 experience.
Behavioural Competencies
- Adopting Practical Approaches
- Articulating Information
- Challenging Ideas
- Examining Information
- Exploring Possibilities
Technical Competencies
- Data Analysis
- Data Integrity
- Documenting
- Knowledge Classification
- Statistical & Mathematical Analysis