REQ: 137576
Closing Date: 21 January 2025
Job FamilyInvestment Banking
Quantitative
Manage Self: Professional
Job PurposeTo develop and maintain best practice models and assessment strategies in line with regulations (where applicable) in order to facilitate world class risk management and/or attainment of strategic objectives.
The incumbent will contribute to a team which specializes in:
The development, implementation and support of best-practice credit risk stress and scenario testing and loss forecasting models across both impairment and capital landscapes including frameworks and processes.The use of these to inform strategy, planning and risk appetite.Ownership of the Group-wide IFRS9 methodology and involvement with updating these with changes when relevant.Involvement in an advisory role to the business units – specific to credit risk modelling for impairments and capital.Ownership of the Group Fair Value model, including efficiencies in an operational sense.Collaborative work across the rest of Group Risk Analytics where required.Job ResponsibilitiesIn serving these objectives, this role calls for substantial and end-to-end involvement in the delivery of loss forecasting for Nedbank, from both an IFRS9 and a Basel perspective. Key responsibilities include:
Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale products and contributing to the development of methodological aspects of loss forecasting and credit risk stress testing.Conducting independent credit risk stress testing related research and using it as input into proposals and strategies.Staying abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital), and implementing these in Nedbank's own frameworks and processes.Taking ownership of the IFRS9 loss forecasting and Credit RWA framework and keeping it up to date as the methodology evolves.Developing, in collaboration with the relevant BU stakeholders, effective implementations of this framework: that is, best practice, loss forecasting and credit stress and scenario testing models and capabilities.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 volumes and risk profiles) to ensure high quality of overall forecasts.Identifying and fleshing out use cases for IFRS9 and Basel loss forecasting: leveraging this infrastructure into insightful analytics that deliver value for Nedbank.Alongside the loss forecasting function, the team also plays a more general role in Nedbank's IFRS9 and credit risk analysis and reporting infrastructure. The incumbent's responsibilities along these lines would include:
Staying abreast of Basel and IFRS9 methodologies across the Bank; contributing to the corresponding governance processes.Ad hoc analyses on IFRS9 models, as well as on overall impairment calculations, for both wholesale and retail portfolios.Development, implementation and support of models for other credit risk metrics, coherent with Nedbank's IFRS9 and Basel frameworks (e.g., fair value, earnings at risk).Supporting input into Nedbank Group's strategic planning process and assisting with recommendations on credit strategy through insightful analysis.Supporting the enhancement of internal credit risk reporting capabilities more generally.More generally, the incumbent is expected to play a senior role in the broader team, with responsibilities that include:
Conceptualisation, planning and execution of co-operative projects.Mentorship and development of junior team members.Involvement/Assistance in Active Credit portfolio management where required.Outputs / DeliverablesHigh-quality stress testing and loss forecasting models.Other Group-level models estimating credit risk (e.g., Group fair value).Active use of stress testing & scenario to analyse and inform credit risk strategy and risk appetite.Involvement across the credit risk landscape within Nedbank from an advisory and technical standpoint.Active use of stress and scenario testing in Group Risk to better manage risk.Essential Qualifications - NQF LevelDegree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., engineering), or a Chartered Account with credit experience.Preferred QualificationMinimum Experience Level5+ years relevant experience in an analytical environment, e.g., stress testing, loss forecasting, Basel or IFRS9 modelling, or pricing.Technical/ Professional KnowledgeCoachingCommunicationDecision MakingQuality OrientationTechnical/Professional Knowledge and SkillsDisclaimerPreference will be given to candidates from the underrepresented groups.
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