About the role
Introduction
A banking institution is seeking an IRB Model Developer to contribute to credit risk models used in regulatory and internal capital estimates. This permanent, on-site role in Sandton offers end-to-end modelling project ownership, collaboration across risk and business teams, and the opportunity to guide junior quantitative analysts.
Salary: R1,200,000.00 - R1,400,000.00 per annum.
Role Responsibilities
Design and develop credit risk models, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and credit portfolio models.
Lead modelling projects from end to end and maintain clear model development documentation.
Provide modelling guidance and share knowledge with junior team members.
Keep abreast of credit risk developments, regulatory changes and industry best practices.
Partner with independent model validation to assess ongoing model performance and address design or performance deficiencies.
Collaborate with Credit Risk, Finance and business stakeholders to integrate models into their operating environments.
Work with IT and data teams on efficient implementation, data quality and system integration.
Experience Requirements
At least eight years of experience in a quantitative role. Retail credit risk modelling experience is advantageous, but not a prerequisite.
Strong statistical modelling, quantitative analysis and problem-solving skills.
A background in modelling, statistical analysis and programming languages such as SAS, MATLAB, Python or R.
Basic knowledge of Basel II and III, including practical application in South Africa.
Demonstrated ability to transfer knowledge to junior colleagues.
Confident written, verbal and presentation skills, with the ability to work independently and collaboratively.
A delivery-focused approach, adaptability and willingness to learn.
Education Requirements
A degree in a highly quantitative field, such as Economics, Mathematics, Statistics or Engineering, with strong academic performance.