Model development analyst

at  Absa Bank Limited

Empowering Africa’s tomorrow, together…one story at a time.
With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.
Job Summary
Part of the credit risk development team that performs model developments and continuous enhancements of Corporate and Investment Banking models for various asset classes such as large corporates, SMEs, Specialised lending etc. by taking part in the entire credit risk model lifecycle, i.e. model build, implementation, monitoring and governance.
Job Description

Accountability: Model development and monitoring (50%)

• Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures.
• Partake in the monitoring of models within CIB through the development, standardisation, reporting and review of monitoring packs.
• Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly.
• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review questions and reworking the model build to address issues raised.
• Provide and detail appropriateness, perform and report impact analysis and recommend the use of both existing internal models as well as external industry standard models available e.g. KMV portfolio Manager, Credit Metrics, etc.
• Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained.
• Ensure model compliance with Absa Group governance standards by following and adhering to various standards related to model development.
• Communicate results and recommendations from analyses and modelling undertaken to other areas of Group Credit Risk, SBUs & cluster by tailoring the interpretation to the audience and using appropriate presentation technology and templates.
• Enhance model usage through strategy and policy recommendations to the Credit Risk team.

Accountability: Stakeholder management (25%)

• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions.
• Generate appropriate challenge on model builds from around the cluster by discussing model build detail and ideas.
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions.
• Convert data extracts into relevant reports and data sets as required. This includes compiling Management Information (MI) and ad-hoc queries while adhering to agreed deadlines. Explaining methodologies and data feeds to the Prudential Authority and their representatives, as and when required.
• Develop and maintain relationships with relevant business units by understanding the business units’ requirements and by providing feedback in a timely manner.
• Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources.
• Contribute towards the development of a high-performance culture. Participate in planning, resource allocation, training and team-building functions.

Accountability: Consultancy (10%)

• Support business needs such as forecasting and extrapolations by assisting in analyses as required by business.
• Create value added knowledge of data and processes by analysing information obtained from Risk data repositories.
• Compile reports and presentations based on requested analyses on existing and expected scenarios by statistically comparing different scenarios. Use these analyses to make recommendations around next steps or decisions to be taken.

Accountability: Governance and Adherence (10%)

• Based on risk research, provide general consultancy for credit risk matters within the cluster, including validation and challenger models.
• Ensure best practice modelling techniques are in place by conducting research and by liaising with Model Methodology, other SBUs or clusters and/or software suppliers.

Accountability: Continuous self-development and growth (5%)

• Stay abreast of knowledge and skills relevant to the level and area of work, and actively seek to attain those required for the next level of work.
• Improve corporate performance by considering influencing events, quantifying the impact on corporate performance and proactively finding solutions.
• Perform all other duties as reasonably assigned.

Education
Bachelor Honours Degree: BMI - Business Management and Informatics, Bachelor Honours Degree: Physical, Mathematical, Computer and Life Sciences (Required)
Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.
Absa Bank Limited reserves the right not to make an appointment to the post as advertise

Accountability: Model development and monitoring (50%)

• Develop models in-house by ensuring model build data are of sufficient quality, completing statistical data analysis and producing detailed model build documentation while conforming to the governance structures.
• Partake in the monitoring of models within CIB through the development, standardisation, reporting and review of monitoring packs.
• Ensure successful implementation of vendor models by assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and helping out with testing (comparing implementation results with prototype results) to ensure the model is implemented correctly.
• Develop theoretical understanding and practical application of model development methodology through model building and application experience. Ensure full governance processes for modelling are complied with from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review questions and reworking the model build to address issues raised.
• Provide and detail appropriateness, perform and report impact analysis and recommend the use of both existing internal models as well as external industry standard models available e.g. KMV portfolio Manager, Credit Metrics, etc.
• Provide directional expertise to enhance model building skills within the team, ensuring increased capacity to build models, by transferring knowledge and experience gained.
• Ensure model compliance with Absa Group governance standards by following and adhering to various standards related to model development.
• Communicate results and recommendations from analyses and modelling undertaken to other areas of Group Credit Risk, SBUs & cluster by tailoring the interpretation to the audience and using appropriate presentation technology and templates.
• Enhance model usage through strategy and policy recommendations to the Credit Risk team

Accountability: Stakeholder management (25%)

• Actively engage stakeholders (model users, validation team, monitoring team, regulators) to be fully engaged in process and delivery through email discussions, group meetings and one-on-one discussions.
• Generate appropriate challenge on model builds from around the cluster by discussing model build detail and ideas.
• Manage key stakeholders across the business by ensuring their issues, objectives and priorities are reflected in the agreed solutions.
• Convert data extracts into relevant reports and data sets as required. This includes compiling Management Information (MI) and ad-hoc queries while adhering to agreed deadlines. Explaining methodologies and data feeds to the Prudential Authority and their representatives, as and when required.
• Develop and maintain relationships with relevant business units by understanding the business units’ requirements and by providing feedback in a timely manner.
• Work with stakeholders to create and maintain a portfolio of business MI by utilising consistent and validated data sources.
• Contribute towards the development of a high-performance culture. Participate in planning, resource allocation, training and team-building functions

Accountability: Consultancy (10%)

• Support business needs such as forecasting and extrapolations by assisting in analyses as required by business.
• Create value added knowledge of data and processes by analysing information obtained from Risk data repositories.
• Compile reports and presentations based on requested analyses on existing and expected scenarios by statistically comparing different scenarios. Use these analyses to make recommendations around next steps or decisions to be taken

Accountability: Governance and Adherence (10%)

• Based on risk research, provide general consultancy for credit risk matters within the cluster, including validation and challenger models.
• Ensure best practice modelling techniques are in place by conducting research and by liaising with Model Methodology, other SBUs or clusters and/or software suppliers

Accountability: Continuous self-development and growth (5%)

• Stay abreast of knowledge and skills relevant to the level and area of work, and actively seek to attain those required for the next level of work.
• Improve corporate performance by considering influencing events, quantifying the impact on corporate performance and proactively finding solutions.
• Perform all other duties as reasonably assigned