Manager: Specialist Data Scientist - Johannesburg at Absa Group Limited (Absa)

Job Summary

• Leverage deep data science expertise in advanced statistics, data wrangling, data mining, data analysis, feature engineering &predictive modeling, storytelling, distributed computing & data visualization, machine learning tools & data intuition to define, build, operationalize & continuously improve data solutions that deliver relevant, quality assured, accurate & commercially impactful data to the business.

Job Description

Key Accountabilities: Accountability: Stakeholder management (25%)

• Actively engage stakeholders (model users, validation team, monitoring team, and regulators) to be fully engaged in process and delivery. Generate appropriate challenges 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 Internal Audit, External Audit, SARB, and their representatives.

Accountability: Expert advisory (25%)

Stay abreast of industry trends and role players and ensure that the function is well-positioned to provide competitive and industry-leading services. Scan the external market to understand future challenges and ensure that the function is positioned to deal with multiple and often contradicting scenarios across Absa. Expert technical adviser to junior quants and modellers across wider team across the following model/methodology disciplines:

• Model Risk
• IFRS9 (PD, LGD, EAD)
• Impairment
• Stress Testing
• Economic Capital
• Pricing
• Portfolio Analytics

Provide directional expertise to enhance model-building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained.

Accountability: Model Development (35%)

• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis, and producing detailed model build documentation while conforming to the governance structures. Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly. 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 Validation questions and reworking the model build to include issues raised.
• Provide and detail appropriateness, perform and report impact analysis and recommend the use of both internal existing corporate models as well as external industry-standard models available. Ensure model compliance with Absa Group governance standards by following and adhering to standards Communicate results and recommendations from analysis and modelling undertaken to other areas of Group Credit Risk by tailoring the interpretation to the audience and using appropriate presentation technology and templates Enhance model usage through strategy and policy recommendations to the Credit Risk team.

Accountability: Governance & Compliance (10%)

• Provide general consultancy for credit risk matters within the cluster, including validation and challenge models Ensure best practice modelling techniques are in place by liaising with other Absa BUs and consulting with strategy software suppliers

Accountability: Leadership (5%)

• Develop and maintain relationships with relevant business units by understanding the business units' requirements and obtaining feedback. Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources. Contribute to the development of a high-performance culture. Participate in planning, resource allocation, training, and team-building functions. Perform all other duties as reasonably assigned.

Education and Experience Required

• Post Graduate degree in Statistics/Mathematics/Engineering/Actuarial or similar.
• Minimum of 5+ years of Banking and analytics experience preferred.

Knowledge & Skills: (Maximum of 6)

• Knowledge of Modelling (Expert)
• Quantitative and Analytical thinking (Advanced)
• Knowledge of Credit Risk and Banking Products (Solid)
• Stakeholder Management Skills (Advanced)
• Financial analysis and interpretation skills (Solid)
• Business acumen (Solid)

Competencies: (Maximum of 8 competencies)

• Formulating strategies and concepts
• Leading and supervising
• Planning and organising
• Creating and innovating
• Analysing
• Learning and researching
• Applying expertise and technology
• Presenting and communicating information

Education

• Bachelor's Degree: Information Technology