Credit Quantitative Consultant

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Credit Quantitative Consultant
Location: Johannesburg, Sandton
Type: Permanent
Reference: #22353
Company: Datafin Recruitment

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 three 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 and strong SAS and / or SQL coding experience a key requirement.
Duties:
Modelling -
  • 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.

Requirements:
Qualifications -
  • Minimum of an honour’s degree in a quantitative discipline (Mathematics, Applied Mathematics, Statistics, BMI, Actuarial Sciences, Engineering, etc.).

Experience/Skills -
  • 3 – 5 years’ professional working experience.
  • Minimum of three 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.

Advantageous –
  • Python.
  • Cloud Computing.

Attributes:
  • Good team player, with a strong work ethic.
  • Self-starter.
  • Good problem solver.

While we would really like to respond to every application, should you not be contacted for this position within 10 working days please consider your application unsuccessful.
Comments:
When applying for jobs, ensure that you have the minimum job requirements. Only  SA Citizens will be considered for this role. If you are not in the mentioned location of any of the jobs, please note your relocation plans in all applications for jobs and correspondence. Please e-mail a word copy of your CV to target="_blank and mention the reference numbers of the jobs. We have a list of jobs on http://www.datafin.com . Datafin IT Recruitment - Cape Town Jobs.
Posted on 22 Jun 18:25, Closing date 22 Jul
Apply
Michelle Roberts
[email protected]
087 351 0743

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