OMF Quantitative Analyst: Impairments at Old Mutual South Africa

Opportunity

The role is responsible for the development, analysis, monitoring and maintenance of impairment and loan valuation models and reporting for a retail portfolio. This includes responsibility for:

• Redevelopment or calibration of EAD, PD, LGD, FLI and models,
• Impairment reporting
• Loan valuation
• Portfolio analysis
• Model monitoring and reporting
• Model governance
• Develop new and periodically recalibrate in-use PD, EAD and LGD models.
• Development of macroeconomic models using forward looking information.
• Develop and maintain loan valuation models.
• Maintain adequate technical documentation regarding the modelling methodologies used in the valuation and impairment models.
• Keep code repository up to date with all model changes.
• Continuously seek ways to improve the modelling methodology through remaining aware of the latest regulations, accounting standards (IFRS9, Basel) relevant regulatory guidance notes and quantifications methods.
• Provide insight to stakeholders.
• Assist with the governance process to obtain approval for new and enhanced models at technical committees, model approval committees, auditors, and the bank’s regulators.

Competencies needed for this role:

• Big data manipulation and management
• Providing insights to various stakeholder
• Interpreting data
• Process automation
• Documenting facts
• Multitasking
• Challenging ideas
• Coding in statistical packages

Minimum Criteria:

• Degree with Stats/Math/Applied Maths/Financial Risk Management/Data Science/Engineering or related disciplines.
• Post graduate degrees or professional qualifications such as CFA, FRM, PRM or equivalent are advantageous.
• 2 Years + working within an impairment or regulatory capital environment.
• R, SQL, MATLAB, SAS, and Python experience advantageous