Specialist, Stress Testing & Climate

Business Segment: Personal & Private BankingLocation: ZA, GP, Johannesburg, Baker Street 30To support PPB and BCB stress testing by conducting continuous assessments of the Bank's earnings, capital and liquidity resilience in times of stress. Research on current and emerging stress testing topics, including climate risk. Develop, embed, review and maintain stress testing models. Provide leading insight and research into how climate risk can be integrated into credit risk measures and stress testing.QualificationsPost Graduate Degree: Mathematical SciencesExperience RequiredRisk Model Development & ValidationRisk & Corporate Affairs5-7 yearsExperience 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 impairment models in retail banking or a retail lending environment. Understanding of the purpose and operation of impairment models. Communication skills, in particular, communication of technical concepts to a non-technical audience.
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