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Nedbank Group Limited is a bank holding company that operates as one of the four largest banking groups in South Africa. The company's shares have been listed on the JSE Limited since 1969. The group offers a wide range of wholesale and retail banking services through four main business clusters, namely Nedbank Corporate and Investment Banking, Nedbank Retai...
Job Purpose
The validation of the models used for the calculation regulatory and economic capital as well as credit impairments and the rating processes This is to contribute to the goal of best practice models in line with regulations and accounting standards (where applicable) in order to facilitate world class risk management.
The role provides in-depth exposure to the bank’s credit risk measurement models used for the calculation of regulatory and economic capital, as well as credit impairments. Your work will be focused on Wholesale credit models and you will be required to interact with senior modellers on a regular basis
The team will focus on automation, machine learning and expansion into new areas such as credit risk loss forecasting, credit stress testing and anti-money laundering during the medium term
Job Responsibilities
Validation of credit risk models and processes - Quantitative and qualitative validation of credit risk models and data, together with the application thereof.
Subject matter expert - Provide input/assistance in the build and refinement of credit risk models within the business clusters.
Enhancements to existing models - Independent development of models to assess potential for improvement on existing ones.
Continuous learning - Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice. Independently develop alternate PD, LGD, EAD models to that currently in use.
Liaising with the stakeholders - Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management.
Change facilitation - Facilitate improvement in credit risk models and processes.
Organisational learning - Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer.
Documentation - Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board.
Ad-hoc - Assisting management with various ad‐hoc tasks, reports, specific deep dives, SARB communication and analysis.
Minimum Experience Level
3-5 experience in Wholesale risk modelling, validation or credit management environment – with a strong preference for AIRB or IFRS 9 modelling.
Essential Qualifications - NQF Level
Advanced Diplomas/National 1st Degrees
Preferred Qualification
Post graduate degree in Statistics/Mathematics/Econometrics/Finance/Actuarial Science or related quantitative discipline., CFA/ FRM/CQFat
Type of Exposure
Analysing situations or data that requires an in depth evaluation of multiple factors
Developing ways to minimize risks
Influencing stakeholders to obtain buy-in for concepts and ideas
Sharing information in different ways to increase stakeholders understanding
Executing strategy
Working with a group to identify alternative solutions to a problem
Interacting with diverse people
Building and maintaining effective relationships with internal and external stakeholders
Analysing and interpreting quantitative and qualitative data
Managing multiple projects
Technical / Professional Knowledge
Business Acumen
Industry trends
Microsoft Office
Principles of project management
Relevant regulatory knowledge
Relevant software and systems knowledge
Risk management process and frameworks
Business writing skills
Microsoft Excel
Quantitative Skills
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