Job Description

Nedbank Recruiting

Closing Date
18 September 2019
Job Purpose
The incumbent will contribute to a team which specialises in the development, support and implementation of best-practice credit risk stress and scenario testing and loss forecasting models, frameworks and processes. The use of these to inform strategy, planning and risk appetite
Job Responsibilities
  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale products
  • Contributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolves
  • Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios
  • Conducting independent credit risk stress testing related research and using it as input into proposals and strategies
  • Engaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream
  • Interrogating business’ forecast assumptions (e.g. new business volume and risk profile) to ensure high quality of overall forecasts
  • Ensuring high quality credit capital forecasts for the capital adequacy planning process, and fair value assessments for financial reporting
  • Contributing to the active use of stress and scenario testing across the Group to better manage risk

Responsibilities + Skills

Credit (e.g. risk, strategy, origination, pricing) knowledgeMore general analytical/quantitative skillsExcellent communication and reporting skills (verbal and written)Good programming skills (e.g. VBA, Matlab, SAS, R)Self-starter with leadership capabilitiesGood emotional intelligence (EQ)Strong people skills and stakeholder managementMinimum Experience Level2+ years work experience in the area of credit risk (e.g. stress testing, loss forecasting, Basel or IFRS9 modelling, or pricing)Behavioural CompetenciesStrong analytical skillsCommitted and deadline-drivenAligned with Nedbanks core valuesAligned with GRAs culture of collaboration, curiosity, resilience and creativityResilient and flexible, with the ability to drive initiatives to conclusionAble to work independently and on own initiative

Education

taying abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital)Furthering the development of impairment analytics at Group level (e.g., attribution reporting)Supporting the enhancement of internal credit risk reporting capabilities more generallySupporting input into Nedbank Group's strategic planning process and assisting with recommendations on credit strategy through insightful analysisDevelopment and implementation of bottom-up stress testing and loss forecasting modelsDevelopment and implementation of impairment analytics (e.g., attribution reporting)Credit capital forecasts for the capital adequacy planning processOwnership (development and implementation) of the fair value modelling process, for financial reporting

Experience

Graduate degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., engineering), or a Chartered Account with credit experience.

Job Summary

  • Published on: Saturday, 14th September 2019
  • Designation: Quantitative Analyst
  • industry: Finance
  • Vacancy:
  • Employment Status: Full-time
  • Job Location: Johannesburg
  • Salary:
  • Gender:
  • Application Deadline: Saturday, 14th September 2019

About the Company

  • Company Name: Nedbank Recruiting.
  • Address:
  • Website: https://www.nedbank.co.za/
  • Company Profile:
  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale productsContributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolvesConducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfoliosConducting independent credit risk stress testing related research and using it as input into proposals and strategiesEngaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream

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