Specialist: Quantitative Analyst at Absa Bank Limited

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Job Summary

To provide specialist advice and support in the development and implementation of quantitative analytics, planning and associated service delivery processes, methods and techniques; enabling the provision of sound product development expertise.

Job Description

Accountability: Model development

• Develop IFRS9 and/or Regulatory Capital models in-house through sound methodologies and statistical analysis.
• Enhancing / refreshing existing models already in place.
• Proficiency in SAS coding is essential.
• Updating models to reflect latest forecasted macro-economic factors; and communicating this impact.
• Testing that model build data is of sufficient quality and completing statistical data analysis to ensure this.
• Producing detailed model build documentation.
• Assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and with testing (comparing implementation results with documented model) to ensure the model is implemented correctly
• Develop theoretical understanding and practical application of models.
• Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review questions and reworking the model build to resolve issues raised.
• Provide detail around the appropriateness of models.
• Perform and report impact analysis, including that of model updates.
• Work in a manner that allows models to easily be revisited or handed over.

Accountability: Stakeholder management

• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions.
• Present impacts of model updates / model refreshes.
• Generate appropriate challenge on model builds from around the cluster by discussing model build detail and ideas.
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions.
• Explaining methodologies and data feeds to stakeholders when needed.
• Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback.
• Interact with Credit teams when details of their operational processes is required to understand the data / incorporate into the model methodology.

Accountability: Consultancy

• Share insights on the models for which you are responsible for. E.g., on the data used to build the model, drivers of the model, methodology, etc.
• Perform analysis on models to understand impacts, changes, etc.

Accountability: Governance and Adherence

• Familiarise yourself with Absa’s internal Model Risk Governance requirements and relevant Standards.
• Familiarise yourself with the regulations which govern model methodologies.
• Ensure that work which is performed adheres to the above.

Qualifications

• Statistics/Mathematics or similar. · Bachelor Honours Degree: Actuarial Science, or · Bachelor Honours Degree: Applied Mathematics, or · Bachelor Honours Degree: BMI – Business Management and Informatics, or · Bachelor Honours Degree: Mathematics, or · Bachelor Honours Degree: Statistics
• SAS programming proficiency

Years of experience: 1 - 5 years

Education

Bachelor`s Degrees and Advanced Diplomas: Physical, Mathematical, Computer and Life Sciences (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.

Absa Bank Limited reserves the right not to make an appointment to the post as advertised