The incumbent will contribute to a team which specialises in the development, support and implementation of best-practice credit risk stress and scenario testing and loss forecasting models, frameworks and processes. The use of these to inform strategy, planning and risk appetite.
What You Will Do
- Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale products.
- Contributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolves.
- Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios.
- Conducting independent credit risk stress testing related research and using it as input into proposals and strategies.
- Engaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream.
- Interrogating business’ forecast assumptions (e.g. new business volume and risk profile) to ensure high quality of overall forecasts.
- Ensuring high quality credit capital forecasts for the capital adequacy planning process, and fair value assessments for financial reporting.
- Contributing to the active use of stress and scenario testing across the Group to better manage risk.
- Staying abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital).
- Furthering the development of impairment analytics at Group level (e.g., attribution reporting).
- Supporting the enhancement of internal credit risk reporting capabilities more generally.
- Supporting input into Nedbank Group's strategic planning process and assisting with recommendations on credit strategy through insightful analysis.
- Development and implementation of bottom-up stress testing and loss forecasting models.
- Development and implementation of impairment analytics (e.g., attribution reporting).
- Credit capital forecasts for the capital adequacy planning process.
- Ownership (development and implementation) of the fair value modelling process, for financial reporting.
Required Skills and Abilities
- Graduate degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., Engineering), or a Chartered Account with credit experience.
- Business Acumen.
- Industry trends.
- Microsoft Office.
- Principles of project management.
- Relevant regulatory knowledge.
- Relevant software and systems knowledge.
- Risk management process and frameworks.
- Business writing skills.
- Microsoft Excel.
- Strong analytical skills.
- Committed and deadline-driven.
- Aligned with Nedbank’s core values.
- Aligned with GRA’s culture of collaboration, curiosity, resilience and creativity.
- Resilient and flexible, with the ability to drive initiatives to conclusion.
- Able to work independently and on own initiative.
- Credit (e.g. risk, strategy, origination, pricing) knowledge.
- More general analytical/quantitative skills.
- Excellent communication and reporting skills (verbal and written).
- Good programming skills (e.g. VBA, Matlab, SAS, R).
- Self-starter with leadership capabilities.
- Good emotional intelligence (EQ).
- Strong people skills and stakeholder management.
- Job type:Graduate Jobs
Actuary, Economics, Engineering, Mathematics, Statistics
Johannesburg (South Africa)
- Closing Date:9th Nov 2019, 6:00 pm