Quantitative Analyst

Job Purpose

To develop, validate, and maintain credit risk models for regulatory (Basel III/IV) and accounting (IFRS 9) purposes, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models. The role supports internal risk management, regulatory compliance, and financial reporting and facilitates world class risk management

Job Responsibilities

Model Development, Implementation & Maintenance

• Design and implement PD, LGD, and EAD models for retail and wholesale portfolios.
• Ensure models comply with Basel III/IV and IFRS 9 requirements.
• Perform segmentation, calibration, and back-testing of models.
• Implementation of Basel regulatory and IFRS 9 accounting standards and models as well as effective defence of approved and proposed models.

Model Validation & Documentation

• Conduct quantitative validation and performance monitoring of models.
• Prepare comprehensive model documentation for internal and regulatory review.
• Support internal audit and regulatory inspections.

Data Analysis & Management

• Extract, clean, and analyze datasets from internal systems.
• Work with data engineers and IT to ensure data quality and availability.

Stakeholder Engagement

• Collaborate with Credit Risk, Business, IT, and Audit teams.
• Present model results and methodologies to senior management and regulators.

Regulatory Compliance

• Stay updated with regulatory developments (e.g. Basel IV).
• Ensure models align with internal governance and external regulatory standards and contribute to maintaining regulatory deadlines.

Job Responsibilities Continue

• Seek opportunities to improve implemented business processes; models and systems by identifying and recommending effective ways to operate and add value to Nedbank.
• Contribute to the development of differentiated; superior solutions (solution engineering) that meet stakeholder and business requirements through analysis.
• Ensure product and/or solution design is congruent with the required business specifications through meeting stakeholder requirements timeously.
• Ensure business needs are met by engaging and assisting business through face to face interaction and attendance at forums (including technical model forums) and committees.
• Assist the business to address queries by extracting and analysing data. Perform ad hoc analysis and complete data requests through monitoring of data as per client specification.
• Ensure continuity and knowledge base through documenting and recording processes and models.
• Provide insights enabling growth through analytical research; systems and marketing insights by delivering analytical results and making recommendations to stakeholders.
• Ensure compliance to policy through data analysis and monitoring. Create efficiencies and streamline processes through analysis.
• Establish understanding of processes by bridging the gap between operational and analytical concepts through communication.
• Support the achievement of the business strategy; objectives and values by reviewing Nedbank and Business Unit Plan and ensuring delivered systems; process; services and solutions are aligned. Improve personal capability and stay abreast of developments in field of expertise by identifying training courses and career progression for self through input and feedback from managers.
• Ensure personal growth and enable effectiveness in performance of roles and responsibilities by ensuring all learning activities are completed; experience practiced, and certifications obtained and/or maintained within specified time frames.
• Enable skilling and required corrective action to take place by sharing knowledge and industry trends with team and stakeholders during formal and informal interaction
• Obtain buy-in for developing new and/or enhanced processes (e.g. operational processes) that will improve the functioning of stakeholders' businesses by highlighting benefits in support of the implementation of recommendations. 
• Contribute to a culture conducive to the achievement of transformation goals by participating in Nedbank Culture building initiatives (e.g. staff surveys etc).

Essential Qualifications - NQF Level

Preferred Qualification

Post graduate degree in a technical field with preference for a BSc (Statistics/Mathematics, Actuarial Science, Engineering, CFA/ FRM/CQF)

Minimum Experience Level

Graduate

Preferred Experience

Experience in credit risk modelling under Basel and/or IFRS 9.

• Knowledge of regulatory frameworks (Basel III/IV, IFRS 9, CRR/CRD).
• Experience in statistical programming languages (e.g., Python, R, SAS).
• Knowledge of model risk governance and validation frameworks.

Technical / Professional Knowledge

Behavioural Competencies