Specialist: Quantitative Analyst

To provide specialist advice and support in the development and implementation of quantitative analytics, planning and associated service delivery processes, methods and techniques; enabling the provision of sound product development expertise.

• Develop IFRS9 and/or Regulatory Capital models in-house through sound methodologies and statistical analysis.
• Enhancing / refreshing existing models already in place.
• Proficiency in SAS coding is essential.
• Updating models to reflect latest forecasted macro-economic factors; and communicating this impact.
• Testing that model build data is of sufficient quality and completing statistical data analysis to ensure this.
• Producing detailed model build documentation.
• Assisting the model implementation team through answering technical questions around the model workings (inputs to the model, calculations performed, etc.) and with testing to ensure the model is implemented correctly.
• Develop theoretical understanding and practical application of models.
• 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.
• Provide detail around the appropriateness of models.
• Perform and report impact analysis, including that of model updates.
• Work in a manner that allows models to easily be revisited or handed over.
• Actively engage stakeholders (model users, validation team, monitoring team, regulators) through discussions and meetings.
• Present impacts of model updates / model refreshes.
• Generate appropriate challenge on model builds 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.
• Explain methodologies and data feeds to stakeholders when needed.
• Develop and maintain relationships with relevant business units.
• Interact with Credit teams when details of their operational processes are required.
• Share insights on the models for which you are responsible for.
• Perform analysis on models to understand impacts, changes, etc.
• Familiarise yourself with Absa’s internal Model Risk Governance requirements and relevant Standards.
• Ensure that work adheres to the above regulations.

• Statistics/Mathematics or similar.
• Bachelor Honours Degree: Actuarial Science, or
• Bachelor Honours Degree: Applied Mathematics, or
• Bachelor Honours Degree: BMI – Business Management and Informatics, or
• Bachelor Honours Degree: Mathematics, or
• Bachelor Honours Degree: Statistics.
• SAS programming proficiency.
• Years of experience: 1 - 5 years.
• Bachelor’s Degrees and Advanced Diplomas: Physical, Mathematical, Computer and Life Sciences (Required).