IFRS9 Quantitative Model Development Analyst

Recruiter:

e-Volving

Job Ref:

MN_493947269485

Date posted:

Monday, June 28, 2021

Location:

Johannesburg, South Africa

Salary:

Cost To Company Incl Benefits, 700000 - 800000 Annually, Leave, Maternity, Bonus etc.

SUMMARY:

Do you enjoy working with numbers and building models?

Are you someone who not only loves Credit Risk but also are a problem solver with critical analytical thinking?

If YES, continue reading and do the right thing, APPLY!

POSITION INFO:

You will be responsible for the following:

Ensuring a full understanding of the IFRS 9 impairment requirements
Developing the IFRS 9 probability of default (PD) and loss given default (LGD) models taking forward-looking information into account
Building relationships and liaising with key stakeholders from across the group
Understanding the synergies between IFRS 9 and stress testing models; and develop/enhance the stress test models
Preparing model development documentation
Ensuring a proper audit trail of all the analyses performed to assist the model validation team that has to independently review all models
Monitoring the performance of the models over time
Monitoring the IFRS 9 stage allocation and ensuring the appropriate quantitative triggers to identify a significant increase in risk
Ensuring stakeholder buy-in by preparing and presenting the models at various forums

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IFRS9 Quantitative Model Development Analyst

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