Standard Bank is a South African-based financial services company with a global presence. Standard Bank believes that it is through their people that they will succeed and that only by working together will they make their offering to its customers. Standard Bank - Moving Forward.
Prime Purpose Of This Role:
As a member of the Quantitative Analytics and Risk Methods (QARM) team, the candidate will be reviewing and validating wholesale rating models and supporting the refinement of validation methodologies and standards. The main role of the QARM team is to provide assurance that the models are measuring risk accurately and can be relied upon in business decisions.
MainResponsibilities:
Review and validation of internal and third party probability of default (PD), loss given default (LGD) and exposure at default (EAD) models for wholesale banking business
Knowledge
The ideal candidate will have the following competencies:
Ability
Johannesburg Gauteng (South Africa)
Market Related Salary
Permanent senior level position at Standard Bank of South Africa in the Financial (Banking) industry.
Posted by Standard Bank of South Africa on 04/02/2013
Apply online before 06/03/2013.
Please note that Recruiters may delete or expire jobs at any time.
http://standardbank.careerjunction.co.za/car/job/jobvuw.asp?p=1&adno=1475351&pageno=A&adv=-1&inf=0&comtype=3&comloc=-1&reczoneNo=-1&cofilter=0&cokeywords=0&cotype=all&reu=1&refer=car
Prime Purpose Of This Role:
As a member of the Quantitative Analytics and Risk Methods (QARM) team, the candidate will be reviewing and validating wholesale rating models and supporting the refinement of validation methodologies and standards. The main role of the QARM team is to provide assurance that the models are measuring risk accurately and can be relied upon in business decisions.
MainResponsibilities:
Review and validation of internal and third party probability of default (PD), loss given default (LGD) and exposure at default (EAD) models for wholesale banking business
- Review and validation of stress and scenario testing models for credit risk
- Maintaining and improving technical documentation of all relevant validation methodologies
- Working closely with the Model Development team to extend and improve coverage of rating models
- Complete documentation of validation methods and conclusions
Knowledge
- Familiarity with Basel II & Basel III Capital Accord contents
- Ability to pay attention to detail
- Honours degree in a mathematical, scientific or risk-related discipline
- Higher degree (MSc) in econometrics, mathematical statistics or other quantitative discipline would be advantageous
The ideal candidate will have the following competencies:
Ability
- Excellent written and verbal communication skills
- translate business needs into mathematical concepts
- At least 2 years of experience in a similar quantitative validation or model development role are a must
- Sound expertise with SAS, MATLAB or other statistical and numerical computing software
- of wholesale or retail rating model development including input parameter selection and validation, model construction,
- Strong understanding model operation design and development, model output assessment and validation
- Exceptional candidates with a very strong academic background with less practical experience
- Excellent quantitative analytical skills, notably in mathematical statistics and econometrics
- Excellent Excel/VBA skills
- build and maintain good working relationships
Johannesburg Gauteng (South Africa)
Market Related Salary
Permanent senior level position at Standard Bank of South Africa in the Financial (Banking) industry.
Posted by Standard Bank of South Africa on 04/02/2013
Apply online before 06/03/2013.
Please note that Recruiters may delete or expire jobs at any time.
http://standardbank.careerjunction.co.za/car/job/jobvuw.asp?p=1&adno=1475351&pageno=A&adv=-1&inf=0&comtype=3&comloc=-1&reczoneNo=-1&cofilter=0&cokeywords=0&cotype=all&reu=1&refer=car
