Credit Quantitative Consultant
Johannesburg – Gauteng
Develop, refine, and validate credit risk models in the timely delivery of various engagements, in a fast-paced start-up Analytics Consultancy in Joburg seeking its next Credit Quantitative Consultant. You will require an Honour’s Degree in Maths/Applied Maths/Stats/BMI/Actuarial Sciences or similar field with 3-5 years’ professional work experience including 3 year’s Credit Modelling. You must be familiar with various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc., have knowledge of a variety of credit risk modelling techniques, a solid understanding of IFRS 9 and/or Basel regulations and how they impact credit risk modelling and management & strong SAS and / or SQL coding experience a key requirement.
- Develop, refine, and validate credit risk models for all product types (e.g., revolving facilities, amortising loans) across retail and wholesale portfolios.
- Ensure regulatory compliance of above models with regards to IFRS 9 and Basel.
- Development of data cleaning, diagnostics, trend analysis, transformation, performance monitoring and back-testing tools to facilitate model development/validation.
- Coding up of the abovementioned data preparation and modelling steps in SAS, SQL or Python, as required, from first principles.
- Assist with the research and development of new modelling techniques (e.g., Machine Learning, etc.).
Consulting Delivery –
- Engagement with internal and client management and auditors during client engagements.
- Documentation of model development, refinement, etc. as well as preparation of Management results/findings presentation/s.
- Ensure highest quality of final deliverable and timely delivery.
Marketing and Sales –
- Assist with writing of marketing documents.
- Assist with compiling proposal documentation.
- Minimum of an Honour’s Degree in a quantitative discipline (Mathematics, Applied Mathematics, Statistics, BMI, Actuarial Sciences, Engineering, etc.).
- 3 – 5 Years’ professional working experience.
- Minimum of 3 years’ Credit Modelling experience.
- Familiarity with various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc.
- Knowledge of a variety of credit risk modelling techniques in the development of probability of default (PD), exposure at default (EAD), loss given default (LGD), adjustments for forward looking information (FLI) and expected credit loss (ECL) models as well stage allocation through the measurement of significant increases in credit risk (SICR).
- Understanding of IFRS 9 and/or Basel regulations and how they impact credit risk modelling and management.
- Strong SAS and / or SQL coding experience a key requirement.
- Strong Microsoft Excel, Word, and PowerPoint experience.
- Cloud Computing.
- Good team player, with a strong work ethic.
- Good problem solver.