Our client is consulting experts in credit modelling, capability building and model automation. They are looking for a Credit Quantitative Manager. This role is responsible for managing and mentoring Credit Quantitative Analysts to achieve the development, refinement and validation of credit risk models in the timely delivery of various engagements, in a fast-paced start-up consulting environment. 

Candidates who are interested should have at least 5 years’ working experience and a minimum of 3 years’ credit modelling experience. You should also have at least 1 year’s experience in managing teams and / or projects. You should be a good team player with a strong work ethic, and a good problem solver. You should have good understanding of IFRS9 and/or Basel regulations and how they impact credit risk modelling and management, and strong coding experience (SAS, SQL, Python etc.)  

Responsibilities will include: 

• Having expertise in the various aspects of the credit life cycle including scoring, impairments, capital, pricing etc.  

• Developing, refining and validating credit risk models for all product types (e.g. revolving facilities, amortising loans) across retail and wholesale portfolios. 

• Expert knowledge of a variety of credit risk modelling techniques in the development of probability of default (PD), exposure at default (EAD), loss given default (LGD), adjustments for forward looking information (FLI) and expected credit loss (ECL) models as well as stage allocation through the measurement of significant increases in credit risk (SICR)  

• Ensuring regulatory compliance of above models with regard to IFRS 9 and Basel. 

• Developing data cleaning, diagnostics, trend analysis, transformation, performance monitoring and back-testing tools to facilitate model development / validation.  

• Coding up of the abovementioned data preparation and modelling steps in SAS, SQL or Python, as required, from first principles.  

• Managing the engagement and effective communication with internal and client management and auditors during client engagements.  

• Documenting (including reviewing) model development, refinement, etc., as well as preparing Management results/findings presentation/s.  

• Writing marketing documents  

For more information, please contact Henda ([email protected] or +27 (0)83 603 2961).