Quantitative Analyst- Credit Impairments

SUMMARY:
Ensures that credit impairment model development, adheres to consistency and quality standards, and follow the guidance of corporate policies and procedures and regulatory requirements.

POSITION INFO:

Key Performance Areas:

1. Develop and Runs Impairment (Expected Loss) Models

 Development and/or implementation of statistical models to implement the IFRS9 Credit impairment models

Develop diagnostic method to quantify changes in provision due to both external and internal

Changes to credit risk environment.

Integration of enterprise wide stress testing requirements into the IFRS9 Credit Impairment model and to determine the potential impact on impairment provisions

Provides information to both internal and external auditors to ensure their accurate understanding and analysis of the asset portfolio

Develops statistical analytical models to analyse the portfolio, including quantitative analysis, probability analysis, regression analysis, migration analysis, etc.

 Analyses various segments of the portfolio to determine their impact on the loan loss provisions.

Provides recommendations to management to help direct future lending activities to mitigate future loan losses.

Maintain database on defaults and assist in the design, development, implementation, and maintenance of data structures and data extracts to support comprehensive data collection, loading, and extraction for complex analyses.

Enhancement of Loss Given Defaults (LGD) models (loss database, collateral haircuts)

Maintain database on SLA partners

2. General modelling responsibilities

 Develops and performs processes for model monitoring.

Completes testing on model assumptions, theory, empirical evidence,  implementation and limitations.

 Perform routine analysis for model performance monitoring and model review, maintaining current model inventory for validation and audit compliance.

Maintain "overwrite statistics"

Develop and maintain documentation of procedures and processes

Maintain thorough technical, procedural, processing, and system knowledge.

 Obtain and conduct data analysis required for stress testing model development.

Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Company’s lending portfolio Work with appropriate parties to resolve or remediate data quality issues

3. General Reporting & Research

Prepare reports and presentations, delivering information for use in Executive level reports and financials

 Write or assist in the drafting of ad hoc and recurring reports.

Work closely with subject matter experts to understand and interpret data.

Keep current regarding latest industry developments and trends affecting the regulatory environment, banking industry and the organisation.

Perform ad-hoc analyses as and when needed

Minimum Education and Experience:

B Degree in Applied Mathematics, and / or Statistics / Accounting

3 year’s experience in Quantitative Analyst in a credit granting environment and in financial markets.

3-2 year’s experience in Statistical Software

 Critical Competencies:

SAS Programming/ Statistical software 4

Microsoft Office 5

BASEL 3

IFRS (relevant standards) 4

 Data Analysis 5

Financial Risk Management Principles

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