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Nedbank Recruiting

Requisition Details & Talent Acquisition Contact

REQ 94901 (Pipeline) - Gabi Sibiya

Career Stream
Quantitative
Job Purpose

The incumbent will contribute to a team which specialises in the development, support and implementation of best-practice credit risk stress and scenario testing and loss forecasting models, frameworks and processes. The use of these to inform strategy, planning and risk appetite

Job Responsibilities
  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale products
  • Contributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolves
  • Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios
  • Conducting independent credit risk stress testing related research and using it as input into proposals and strategies
  • Engaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream
  • Interrogating business’ forecast assumptions (e.g. new business volume and risk profile) to ensure high quality of overall forecasts
  • Ensuring high quality credit capital forecasts for the capital adequacy planning process, and fair value assessments for financial reporting
  • Contributing to the active use of stress and scenario testing across the Group to better manage risk
Job Outputs
  • Staying abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital)
  • Furthering the development of impairment analytics at Group level (e.g., attribution reporting)
  • Supporting the enhancement of internal credit risk reporting capabilities more generally
  • Supporting input into Nedbank Group's strategic planning process and assisting with recommendations on credit strategy through insightful analysis
  • Development and implementation of bottom-up stress testing and loss forecasting models
  • Development and implementation of impairment analytics (e.g., attribution reporting)
  • Credit capital forecasts for the capital adequacy planning process
  • Ownership (development and implementation) of the fair value modelling process, for financial reporting
Minimum Experience Level

2+ years’ work experience in the area of credit risk (e.g. stress testing, loss forecasting, Basel or IFRS9 modelling, or pricing)

Essential Qualifications
  • Honors degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., engineering), or a Chartered Accounting with credit experience.
Type of Exposure
  • Credit (e.g. risk, strategy, origination, pricing) knowledge
  • More general analytical/quantitative skills
  • Excellent communication and reporting skills (verbal and written)
  • Good programming skills (e.g. VBA, Matlab, SAS, R)
  • Self-starter with leadership capabilities
  • Good emotional intelligence (EQ)
  • Strong people skills and stakeholder management
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
Behavioural Competencies
  • Strong analytical skills
  • Committed and deadline-driven
  • Aligned with Nedbank’s core values
  • Aligned with GRA’s culture of collaboration, curiosity, resilience and creativity
  • Resilient and flexible, with the ability to drive initiatives to conclusion
  • Able to work independently and on own initiative

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Please contact the Nedbank Recruiting Team at +27 860 555 566

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