Statistics/Mathematics or similar.
· Bachelor Honours Degree: Actuarial Science, or · BachelorHonours Degree: Applied Mathematics, or ·Bachelor Honours Degree: BMI Business Managementand Informatics, or · Bachelor Honours Degree: Mathematics, or Bachelor Honours Degree:StatisticsPreferred RequirementsYears of experience: 3 - 5 yearsResponsibilities:Develop and monitor IFRS9 and/or Regulatory Capital models in-house ,PD, LGD or EAD models orscorecard models through sound methodologies and statistical analysisEnhancing / refreshing existing models already in placeProficiency in SAS coding is essentialUpdating models to reflect latest forecasted macro-economic factors; and communicating thisimpactTesting that model build data is of sufficient quality and completing statistical data analysis toensure thisAssisting the model implementation team through answering technical questions around the modelworkings (inputs to the model, calculations performed, etc.)
and with testing (comparingimplementation results with documented model) to ensure the model is implemented correctlyDevelop theoretical understanding and practical application of modelsEnsure full governance processes for modelling are complied with from model inception and buildthrough to validation and sign-off by completing all relevant documentation according to the CompanyModel Risk PolicyThis includes responding to Independent Review questions and reworking themodel build to resolve issues raised.Provide detail around the appropriateness of modelsPerform and report impact analysis, including that of model updatesWork in a manner that allows models to easily be revisited or handed overAccountability: Stakeholder managementActively engage stakeholders (model users, validation team, monitoring team, regulators) to be fullyengaged in process and delivery through email discussions, group meetings and one-on-onediscussionsPresent impacts of model updates / model refreshesGenerate appropriate challenge on model builds from around the cluster by discussing model builddetail and ideasManage key stakeholders across the business by ensuring their issues, objectives and priorities arereflected in the agreed solutionsExplaining methodologies and data feeds to stakeholders when neededDevelop and maintain relationships with relevant business units by understanding the business units'requirements and obtaining feedbackInteract with Credit teams when details of their operational processes is required to understand thedata / incorporate into the model methodologyAccountability: ConsultancyShare insights on the models for which you are responsible for.
E.g., on the data used to build themodel, drivers of the model, methodology, etcPerform analysis on models to understand impacts, changes, etcAccountability: Governance and AdherenceFamiliarize yourself with The Companies internal Model Risk Governance requirements and relevantStandards About UsFamiliarize yourself with the regulations which govern model methodologiesEnsure that work which is performed adheres to the above
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