Credit Analytics and Modelling Senior Consultant / Manager – SA1383
Our client is a global boutique consulting firm that specialises in strategic themes evolving around finance and risk for financial institutions., They are looking for a Credit Analytics and Modelling Senior Consultant / Manager to join their South African Consulting team in Johannesburg.
Candidates who are interested should be a Nearly or Newly Qualified Actuary with at least 3 years relevant experience in the development, validation and implementation of credit risk models spanning regulatory capital (A-IRB/RWA – PD, LGD, EAD) and impairments (IFRS9 – lt. ECL), across wholesale credit portfolios such as Corporate, Specialised Lending, Bank and Sovereign portfolios. You should have applied working experience in developing and using programming languages such as SAS, Matlab, R, Python as well as data structures. You must be a creative and lateral thinker with an intellectually curious mind and the ability to structure complex tasks in a goal-oriented way and to deliver innovative solutions under tight timelines.
Responsibilities will include:
- Preparing, analysing and validating model development data.
- Conceptual design of modelling approaches and model architectures including model principles, quantitative methods and underlying assumptions.
- Developing model code such as SAS.
- Producing full model development documentation and communication material.
- Producing high-quality model review / audit / validation reports.
- Participating in content discussions with stakeholders such as credit specialists, independent validators and auditors.
- Presenting outputs of modelling work at technical forums or working groups.
- Producing professional progress reports to project leaders.
- Supporting models throughout the model lifecycle, including governance and approval processes.
For more information, please contact Wilhelm ([email protected] or +27 (0)82 823 9978).