Job Description

The IFRS 9 Model Developer will be responsible for developing, validating, and continuously monitoring IFRS 9 models (Expected Credit Loss) to ensure compliance with Broader African regulatory standards and internal risk management requirements. The role includes presenting model outcomes and methodologies to the Technical Committee and other relevant forums, while managing and mentoring junior model developers. It necessitates strong technical expertise in quantitative and credit risk modelling.

Hello, Future Data Scientist III

Welcome to FNB, the home of the #changeables. We design for the shapeshifters and deliver products and services that make us incredibly proud of the people who make it happen.

As part of our talent team, you will be surrounded by unique talents, diverse minds, and an adaptable environment that lives up to the promise of staying curious. Now’s the time to imagine your potential in a team where experts unite and ignite effective change.

Key Responsibilities:

    Model Development

 Design, develop, and implement IFRS 9-compliant models for Expected Credit Loss (ECL), including Probability of Default (PD), Loss Given Default (LGD), Significant Increase in Credit Risk (SICR), forward-looking models (FLI), and Exposure at Default (EAD).

Ensure models align with broader African countries' regulatory requirements and internal risk policies.

 Utilise statistical and econometric techniques to build robust, predictive models.

Incorporate macroeconomic variables and forward-looking information into models.

     Model Validation

Conduct rigorous validation of IFRS 9 models to ensure accuracy, reliability, and compliance.

Include actuals vs expected, population stability of the model variables, Gini of the model and the like.

Perform sensitivity analysis, stress testing, and back-testing of models.

Address model deficiencies and implement enhancements as needed.

    Model Monitoring

Establish and maintain ongoing monitoring frameworks to assess model performance.

Identify and report model drift, recalibration needs, or performance issues.

Ensure timely updates to models in response to changes in economic conditions or regulatory guidelines.

    Stakeholder Engagement

Present model methodologies, validation results, and performance metrics to the Technical Committee and other governance forums.

Engage internal and external auditors on topics related to broader Africa models.

Communicate complex technical concepts to non-technical stakeholders clearly and effectively.

Collaborate with internal teams (e.g., Risk, Finance, Audit) and external stakeholders (e.g., regulators, auditors).

    Team Management

Manage, mentor, and develop two junior model developers, providing technical guidance and fostering professional growth.

Set clear objectives, conduct performance reviews, and ensure alignment with departmental goals.

Promote a collaborative and innovative team culture.

 Regulatory and Compliance Oversight

Stay updated on IFRS 9, Basel, and other relevant regulatory changes impacting model development.

Ensure all models and processes comply with internal governance and external regulatory standards.

Support audits and regulatory inspections by providing documentation and technical expertise.

You will be an ideal candidate if you have:

Minimum of 3 years of experience in credit risk modelling, with expertise in scoring, IFRS 9 ECL, Basel models, or related quantitative modelling.  

Strong knowledge of statistical modelling techniques, including Logistic Regression, Probability of Default (PD), Exposure at Default (EAD), Loss Given Default (LGD), and Survival Analysis.  

Proven ability to engage with auditors and explain complex technical concepts clearly and concisely.  

Experience with model calibration, validation, monitoring, and stress testing processes.  

Proficiency in programming languages/tools such as Python, R, SAS, or SQL is advantageous.  

Excellent analytical skills and attention to detail.  

Ability to work independently and collaboratively in a fast-paced environment.

Preferred Qualifications:  

Advanced degree (e.g., master’s or PhD) in Statistics, Mathematics, Data Science, or a related field.  

Prior experience in financial services or banking, particularly in credit risk.  

Familiarity with Basel III/IV frameworks and their application to credit risk modelling.

You will have access to:

Opportunities to network and collaborate.

Challenging Working

Opportunities to innovate.

We can be a match if you are: 

Curious & courageous - you are driven by always wanting to know more and learn more and you are brave enough to

Obsessed with mastery - you know what it takes to become good at what you do and are constantly pushing yourself to do it.

Are you interested to take the step? We look forward to engaging with you further. Apply now!

#POST

#FNB

#LI-SY1

Job Details

Take note that applications will not be accepted on the below date and onwards, kindly submit applications ahead of the closing date indicated below.

02/07/25

All appointments will be made in line with FirstRand Group’s Employment Equity plan. The Bank supports the recruitment and advancement of individuals with disabilities. In order for us to fulfill this purpose, candidates can disclose their disability information on a voluntary basis. The Bank will keep this information confidential unless we are required by law to disclose this information to other parties.