Model Development Manager - Credit Risk Models

About the role

Absa is looking for an experienced Model Development Manager to join a team of model developers. The role covers the development of PD, LGD and EAD models for Regulatory Capital and IFRS9 impairment purposes, within a banking or consulting environment.

Key responsibilities

• Own the full end-to-end model development lifecycle, including development, implementation and governance, meeting business-as-usual and project timelines
• Lead the development, calibration, enhancement and documentation of PD, LGD and EAD models for Regulatory Capital and IFRS9
• Manage delivery timelines, priorities and dependencies across multiple modelling initiatives
• Ensure compliance with regulatory requirements, risk management frameworks and internal policies
• Manage risks and risk events relevant to model development
• Work with model validation, credit, finance, audit and other stakeholders on model governance and implementation
• Share expertise with the team, mentor junior members and support performance, talent and succession planning
• Stay current with industry trends, modelling methodologies and regulatory developments

Required profile

• BSc/MSc in Mathematics, Mathematical Statistics, Statistics or Actuarial Science
• At least 3-4 years of hands-on credit risk modelling experience, across PD, LGD and/or EAD models
• At least 2 years managing model development teams and/or leading model development projects
• Proven experience managing the full model development lifecycle, including monitoring and governance
• Experience mentoring and developing junior analysts

Required skills

• Strong understanding of Regulatory Capital and IFRS9 frameworks and their modelling requirements
• Strong analytical, problem-solving and communication skills, able to explain technical concepts to non-technical stakeholders