Data Scientist III
FirstRand
Date: 1 day ago
City: Johannesburg, Gauteng
Contract type: Full time

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
- 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
- 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
- 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)
- 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
- 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
- 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
- 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
- Opportunities to network and collaborate
- Challenging Working
- Opportunities to innovate
- 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
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