OMF Senior Quantitative Analyst: Credit & Impairment Specialist Let's Write Africa's Story Together! Old Mutual is a firm believer in the African opportunity and our diverse talent reflects this.
Job Description If you are looking for a company that offers great culture, leadership, learning opportunities, challenges, rewards, and recognition, then look no further than Old Mutual.
Opportunity The role is responsible for the development, analysis, monitoring and maintenance of impairment and loan valuation models and reporting for a retail portfolio. This includes responsibility for:
Redevelopment or calibration of EAD, PD, LGD, FLI and models Impairment reporting Loan valuation Portfolio analysis Model monitoring and reporting Model governance Specific responsibilities include:
Develop new and periodically recalibrated in-use PD, EAD, and LGD models. Development of macroeconomic models using forward-looking information. Develop and maintain loan valuation models. Maintain adequate technical documentation regarding the modeling methodologies used in the valuation and impairment models. Keep the code repository up to date with all model changes. Continuously seek ways to improve the modeling methodology by remaining aware of the latest regulations, accounting standards (IFRS9, Basel), relevant regulatory guidance notes, and quantification methods. Provide insight to stakeholders. Assist with the governance process to obtain approval for new and enhanced models at technical committees, model approval committees, auditors, and the bank's regulators. Presentation of analytical results and proposals to both technical and non-technical committees, providing commentary as required. Competencies needed for this role: Big data manipulation and management Providing insights to various stakeholders Interpreting data Process automation Documenting facts Multitasking Challenging ideas Coding in statistical packages Minimum Criteria: Degree in Stats/Math/Applied Maths/Financial Risk Management/Data Science/Engineering or related disciplines Minimum 4 years working within a model development/data validation impairment or regulatory capital environment R, SQL, MATLAB, SAS, and Python experience advantageous Closing Date: 25 October 2024
The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question. Old Mutual Limited is pro-vaccination and encourages its workforce to be fully vaccinated against Covid-19. All prospective employees are required to disclose their vaccination status as part of the recruitment process.
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