Job Details

A position for a Manager – Wholesale Credit Analytics is based in Sandton and is available in the Enterprise Risk Management Services (ERM) department within a Banking Group reporting to Head – Group Credit Risk Management. The Credit Risk Management depa

Key functions include:
• Risk appetite limit setting and monitoring;
• Challenge of bad debt provisioning results and other credit models e.g. application scorecards and pricing models;
• Regulatory interaction pertaining to all credit risk matters;
• Reporting of the credit risk profile to the SARB through the BA 200 process, as well as driving the credit risk reporting infrastructure;
• Preparation of FRBG Board Risk Committee credit risk reporting;
• Independent model validation and rating system oversight for regulatory capital models;
• Oversight of group economic capital and stress testing methodologies, infrastructure and results;
• Maintain credit governance structure.
• The department works closely with the credit segment heads, as well as the Balance Sheet Management Portfolio Management and Performance Measurement teams on matters pertaining to credit risk.

The objectives of the role are:
• Maintain and enhance AIRB compliance and credit model performance
• Maintain and enhance relationship with regulator and external auditors
• Optimise measurement of credit risk profile
• Optimise understanding of rating system dynamics to inform business origination, performance measurement and capital planning
• Enhance credit function coordination
• Provide independent oversight over wholesale credit segment on credit risk control aspects and provide recommendations on areas of improvement;
• Support the wider ERM division with ad hoc quantitative analysis.

The job involves the following responsibilities:
• Participation at Wholesale Credit Committees
• Owner of Wholesale Model Building and Validation Frameworks
• Owner of Wholesale Independent Model Validation Process
• Regulatory Interaction
o Coordinate Wholesale Technical On-Sites
o Drive Wholesale AIRB Self Assessment Process
• Review and implement Wholesale Economic Capital and Stress Testing Models
• Assist in formulation and roll-out of Group Economic Capital and Stress Testing Methodologies
• Facilitate External Credit Model Audits
• Challenge bad debt provisioning process and inputs
• Challenge other credit related models (e.g. pricing models)
• Challenge and monitor risk appetite limit setting methodology and process
• Custodian of all rating system documentation and model inventories
• Research and implement best practice regarding credit risk modeling
• Support of the wider ERM division with quantitative analysis (e.g. Operational risk or other risk analysis)
• Risk profile analysis of information presented in the BA200 returns
• Training and development of credit quantitative team

Qualification and Skill Requirements:
The following skills are required for the job
• The successful candidate must be self-motivated and use their initiative at all times (being innovative, thinking laterally and questioning the status quo).
• The successful candidate must have a minimum of a B.Com / B.Sc. Honours degree in Statistics or Actuarial Science.
• The successful candidate should have at least four years relevant experience in financial, credit analytics and / or risk modelling – or a relevant professional qualification. Knowledge of Basel II is a strong advantage.
• The successful candidate should be able to demonstrate practical programming experience. Knowledge of SAS would be a very strong advantage.
• S/he must have good interpersonal skills and be comfortable communicating at all levels.
• Accuracy, efficiency and time management are essential characteristics. S/he must be able to function independently, but within a team environment.

Required Competencies:
The following competencies are required for the job:
• Assertive;
• Management and leadership skills;
• Analytical Thinking;
• Business & Commercial Awareness;
• Creative & Innovative Thinking;
• Achievement Driven;
• Use Initiative;
• Execution focused;
• Ability to handle pressure;
• Able to identify and escalate issues;
• Must be persistent about process;
• Team player; and
• Determined.