Credit Quantitative Manager
Johannesburg – Gauteng
YOUR expertise & strong commercial acumen and leadership as a Credit Quantitative Manager is sought by a fast-paced Analytics Consultancy in Joburg. Your core role will be to manage & mentor Credit Quantitative Analysts to achieve the development, refinement, and validation of credit risk models in the timely delivery of various engagements. You will also do the analytics and modelling personally, as required on some projects. The ideal candidate must possess an Honours Degree in Maths/Applied Maths/Stats/BMI/Actuarial Science or similar discipline with at least 5 years’ professional working experience of which 2 years’ must have entailed managing teams on quantitative modelling projects. You must have expertise in the various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc., expert knowledge of a variety of credit risk modelling techniques, have a solid understanding of IFRS 9 and/or Basel regulations and how they impact Credit Risk Modelling and management and strong SAS and / or SQL coding experience.
- 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.
- Drive the research and development of new modelling techniques (e.g., Machine Learning, etc.).
Consulting Delivery –
- Project and team management on consulting engagements.
- Manage and mentor Junior Credit Quantitative Analysts to ensure their effective upskilling and delivery of projects; including the review of work performed by the team.
- Manage the engagement and effective communication with internal and client management and auditors during client engagements.
- Documentation (including review) of model development, refinement, etc. as well as preparation of Management results/findings presentation/s.
- Take responsibility for the highest quality of final deliverable and timely delivery of projects within budget.
Marketing and Sales –
- Write marketing documents.
- Compile proposal documentation.
- Present at conferences and in webinars.
Administration and Management –
- Ensure consulting administration tasks are complete for the team.
- Contribute to the budgeting process.
- Assist with sourcing and recruiting new talent.
- Train new employees.
- Build morale and retain talent.
- Minimum of an Honour’s Degree in a quantitative discipline (Mathematics, Applied Mathematics, Statistics, BMI, Actuarial Sciences, Engineering, etc.).
- 5 – 10 Years’ professional working experience.
- Minimum of 5 years’ Credit Modelling experience.
- Minimum of 2 years’ experience managing teams on quantitative modelling projects.
- Expertise in the various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc.
- Expert 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.
- Consulting experience.
- Cloud Computing.
- Good team player, with a strong work ethic.
- Good problem solver.