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Job at ABSA Bank Limited South Africa – Model Methodology and Frameworks Manager|Sandton and Johannesburg

Absa Group Limited is listed on the JSE and is one of Africa’s largest diversified financial services groups with a presence in 12 countries across the continent and around 41 000 employees.

We own majority stakes in banks in Botswana, Ghana, Kenya, Mauritius, Mozambique, the Seychelles, South Africa, Tanzania (ABSA Bank in Tanzania and National Bank of Commerce), Uganda and Zambia. We also have representative offices in Namibia and Nigeria, as well as insurance operations in Botswana, Kenya, Mozambique, South Africa, Tanzania and Zambia.

Position: Model methodology and Frameworks Manager
Location: Sandton, Johannesburg
Bring your possibility to life! Define your career with us
With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.

Job Summary
Identify, research and propose modelling approaches and statistical methodologies to be used as a key component of the development of appropriate models that comply fully with all regulatory and/or business requirements.
Coordinate a quant community of practice across MRCoE and businesses. Ensure that all project role players apply the required standardised frameworks, methodologies and toolsets—to the right level of quality and completeness.

Job Description
Accountability: Training and development

• Create standardized training for quants- this should be in relation to credit risk, retail and wholesale; regulatory compliance training; statistical methodology training.
• Facilitate knowledge sharing initiatives amongst quants of different fields (EC, RC, IFRS9, etc.)
• Assist with the upskilling of new joiners in various business areas by means of training.
• Assist with the setup of senior management training for board members and senior managers.
• Assist with the liaison of the North West university training, and student projects.
• Facilitate training and upskilling internal stakeholders on generic methodologies and documentation templates such that methodologies are well understood and used appropriately across the relevant functions.

Accountability: Research and Technical Advisory

• Create mode development templates on the current regulations and assist with the methodology standardization
• Assist with interpretation of new regulations, or accounting standards.
• Research best practice and asses feasibility
• Stay abreast of industry trends and new research to ensure that the function is well positioned to provide compliant, competitive and industry leading models.
• Assist with the interpretation of policy and regulatory changes to understand the impact on and changes required to generic methodologies and documentation templates used across functions.
• Expert technical adviser to quant and modellers across wider team across the following model/methodology disciplines:

o Regulatory models
o Impairment
o Stress Testing
o Economic Capital
o Pricing
o Monitoring and Portfolio Analytics

• Develop and maintain relationships with relevant business units by understanding the business units’ requirements and obtaining feedback on impact of proposed generic methodologies.
• Assist with manage and other external stakeholders (such as regulators, BASA).
• Ensure the effective deployment and effective use within the organisation of required project-management tools, methodology, systems, etc.
• Provide consultative support on the frameworks and methodologies to all stakeholders
• Ensure the frameworks and methodologies align with and support all required regulatory and compliance requirements
• Facilitate the development and maintenance of approved generic methodologies and documentation templates for development of models across business units.
• Review samples of model documentation to ensure methodologies are correctly applied and documented.
• Provide approved methodology documents that can be leveraged by model development.
• Enhance model usage through development of appropriate methodologies and assessment of model owner requirements.

Accountability Governance and

• Participate in governance processes where required from model inception and build through to validation and sign-off by completing all relevant documentation according to the Absa Model Risk Policy. This includes responding to Independent Review/Validation questions on methodology.

Accountability: Manage People and Performance

• Specialist in the team specifically relating to retail credit risk
• Take steps to ensure sound HR practices and adherence to Group policies and standards within the business function.
• Coach, mentor and develop staff members (inside the team and outside the team).
• Encourage and support frequent knowledge sharing between the broader quant community members.
• Determine and analyse development needs for external teams and ensure that identified training requirements are executed.

Education

• Doctorates / PhD: Applied Mathematics (Required), Doctorates / PhD: BMI – Business Management and Informatics (Required), Doctorates / PhD: Statistics (Required)

Deadline: 2020-09-01.

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