Quantitative Specialist: Credit Impairments

Recruiter:

Kamo Placements

Job Ref:

JHB000571/m

Date posted:

Friday, February 12, 2021

Location:

Centurion, South Africa

Salary:

Annually

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:

JOB DESCRIPTION

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

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"

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.

JOB REQUIREMENTS

Preferred Minimum Education and Experience

B Degree in Applied Mathematics, and / or Statistics / Accounting
3 years’ experience in Quantitative Analyst in a credit granting environment and in financial markets.
3-2 years’ 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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