Closing Date 2020/02/24
Reference Number LAN191203-2
Job Title Manager: Quantitative Specialist
Division Finance and Treasury and IT
Unit Finance Treasury & IT
Job Type Classification Permanent
Location - Country South Africa
Location - Province Gauteng
Location - Town / City Centurion
JOB ADVERT SUMMARY
The Land and Agricultural Development Bank of South Africa (Land Bank) is South Africa’s only specialist agricultural bank established in 1912, the bank’s sole objective is to serve South African commercial and emerging farmers and bring specially designed financial services within their reach. These services enable farmers to finance land, equipment, improve assets and obtain production credit. The Land Bank provides financial services that have moved with the times and continues to provide services to agri-business and constantly reviews its offerings to ensure that they match the needs of an industry. As change has swept across the sector in South Africa the socio-economic makeup of agriculture has altered, bringing new entrants from historically disadvantaged backgrounds on to the land, these new farmers, facing the challenges of establishing sustainable agri-businesses across the agricultural value chain, Land Bank has been a commercial lifeline offering appropriately designed financial products that facilitate personal and commercial viability in a sector that is vital to the sustainability of South Africa and its people. Land Bank Insurance (LBI) which offers short term and long term insurance products is a 100% owned subsidiary of Land Bank
MAIN PURPOSE OF THE JOB
Conducts, oversees and develops quantitative and analytical models, performs macro and fundamental assessments, and/or runs applications in support of risk management efforts. Acts in a general advisory capacity across the department and business in relation to model development.
KEY PERFORMANCE AREAS
Develop and Run Impairment, Application and Behavioural, Capital Management, Funding and Interest rate risk Models
1. Actively engage with stakeholders to ensure delivery;
2. Manage key stakeholders and ensure their issues and priorities are reflected in solutions.
3. Explain methodologies and data feeds to Internal Audit, External Audit, National Treasury and other stakeholders
4. Stay abreast of industry trends - scan the market to understand future challenges.
5. Pivotal role to provide expert technical advice across the team;
6. Provide advice and guidance on methodology disciplines: Model Risk, AIRB, Impairment, Stress Testing, Economic Capital, Pricing, Portfolio Analytics;
7. Develop methodology for the building of models.
8. Reviews work for good quality of data. Analyse statistical data and produce detailed model build documentation;
9. Communicate results to other areas and tailor- the interpretation to the audience;
10. Oversee governance and compliance of credit risk matters.
11. Responsible for modelling overall credit risk
General Model Maintenance
1. Responsible for oversight of Model Risk, AIRB, Impairment, Stress Testing, Economic Capital, Pricing, Portfolio Analytics
2. Responsible for pricing models
3. Perform quantitative analysis and modelling around loan portfolio data specifically relating to PD, LGDs and EADs.
4. Developing of credit scoring models (IRB models for commercial, development and corporate portfolios)
5. Maintain database on defaults and assist in the design, development, implementation, and maintenance of data structures and data extracts to support comprehensive data collection, loading, and extraction for complex analyses.
6. Determine data sources, research methodology, manage project datasets, test designs and hypotheses, analyse and interpret results, and build models within the various databases and/or tools.
7. Data manipulation and programming in support of model estimation, implementation, monitoring, and back testing.
8. Validate the performance of existing quantitative risk models, recommends changes, and supports gap closing projects.
9. Calibration of PD models - testing discriminatory power of variables conducting quantitative analyses on internal and external data to refine, monitor and recalibrate existing model;
10. Maintain database on variables needed for PD modelling (behavioural and quantitative)
11. Collaborate with business and credit to test the effectiveness and measure the financial impacts of the new credit risk models prior to implementation
12. Analyse credit risk valuation models, correlations, concentrations, rating migrations, and risk contributions
13. Support implementation of third party vendor solution tools for credit risk
14. Maintain awareness of new advances in credit risk modelling techniques to ensure the application of best practices credit risk models
15. Performing sensitivity analyses and evaluations on credit risk measures (PD, LGD, EAD) and other model parameters;
Conducts Report & Research
1. Prepare executive level reports and presentations, delivering information by various mechanisms inclusive of tables, figures, graphs, dashboards and recommendations for high-level decision making, often transforming complicated data sets into easy to understand data points.
2. Write or assist in the drafting of ad hoc and recurring periodic reports.
3. Work closely with subject matter experts to understand and interpret data.
4. Keep current regarding latest trends affecting the regulatory environment, banking industry and the organisation, as well as the implications for effective credit risk management.
5. Perform ad-hoc analyses as and when needed
6. Conducts research in accordance with policies, procedures and legal requirements
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