Model Risk and Analytics Manager at Absa Bank Limited

Job Summary

To operate as a member of a Model Analytics Team with specific responsibility for: Specializing in post model development analytics, ongoing Performance Assessments (OPA), Annual Model Reviews (AMR), Risk Reporting, model risk management and Stress Testing.

Job Description

Key accountabilities:

General;

• Interact with business managers to analyze and interpret business needs.
• Research, compile, analyze, interpret, and prepare data on economic conditions in Kenya.
• Review and analyze economic data to prepare reports detailing results of performed research on Absa risk appetite.
• Conduct surveys for determining and analyzing sectoral performance in a structured and triangulated manner.
• Identify economic indicators in respect to trends of the national and economic sector developments, eventually developing economic forecasts using econometric techniques.
• Drive enterprise risk analytics and develop KRIs that focus on the impact of principal risks on risk levels and performance.
• Development and improvement of risk reporting dashboards and risk report content in conjunction with the risk owners.
• Oversees and provides input to risk reporting timelines.
• Accurate and timely preparation of risk management reports i.e., Board Audit and Risk Reports, Portfolio Quality Reviews, Executive Risk Committee, Monthly Risk Review and ALCO Pack.
• Automation of Risk Reports in Tableau, SSRS, Power BI.
• Preparation of Committee minutes and tracking actions from committee meeting to ensure closure.
• Performs related work as assigned.

Model Analytics;

• Involved in Risk Appetite setting process, calibrating appetite limits, active monitoring, and reporting.
• Stress testing and ICAAP assessments.
• Participate in implementation of the GMRP, standards and procedures.
• Support the maintenance the Group Model Database.
• Qualitative reviews of model development and quantitative review of model performance.
• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data.
• Conduct on-going model performance analysis.
• Provide comprehensive interpretations, explanations, and conclusions.
• Work with partners to resolve model issues.
• Enhance efficiency and effectiveness of implementation of post model development analytics.
• Automate and consolidate ongoing model analysis and the annual model review process across different models.
• Support various tasks in response to regulatory and internal risk management requirements.

Risk Reporting and Stress testing;

• Participate in developing methodologies, algorithms and diagnostic tools for testing model robustness, stability, and performance for the following risk stripes;

Market Risk Analytics;

• Analysis for market risk models includes, but is not limited to, back testing and profit attribution analysis (PAA) on hypothetical portfolios for credit, FX, rates, and mortgage products.

Counterparty Credit Risk;

• Understand models (pricing model and simulation model) and the model usages in various applications (CCR capital requirement calculation under Basel III, accounting CVA and internal credit exposure limit monitoring).
• Understand systems, data flow, data definition and data requirement for various trading products. Utilize this knowledge to perform various analyses to meet risk managers and business needs.

Retail;

• Retail models include Basel, Risk Capital, Internal Stress Testing (GSST) and related models.

Foundational Risk & Reserves (FR&R);

• FR&R models include loss likelihood and severity methodologies and applications, including methodologies used for CECL and IFRS 9, as well as foundational measures of risk (PD, LGD, CCF).

Credit and Risk Rating Analytics (CRRA);

• CRRA model include one-year probability of default models.

Wholesale Credit Stress Testing (WCST);

• Includes CCAR and ICAAP models.
• Risk Capital Models.
• Global Systemic Stress Testing Models.
• Economic Forecasting.
• Deliver senior management reports as per the Risk Data aggregation and reporting framework.
• Provide insights to supporting Senior Executive’s analysis and commentary for Investor, Board of Directors, and other Senior Management reports.
• Participate in the preparation of detailed information and analysis to support reporting disclosures and earnings presentations.
• Produce and analyze monthly/quarterly/yearly reports for various internal and external stakeholders including Absa Group.

Education and experience required

• Bachelor’s degree in a business-related field e.g. accounting, business management, finance, economics etc.
• Advanced analytical skills.
• Communication and presentation skills.
• Inter-personal skills.
• 3+ years of experience in Risk, Credit, Finance, or other relevant professional experience.
• Experience in an analytical/quantitative role related to building models.
• Knowledge and understanding of regulatory models. (IFRS9 and Stress Testing)

Knowledge and skills

• Knowledge of the bank’s products and segments.
• Interpersonal, communication and presentation skills.
• Problem-solving and decision-making abilities.
• Planning and organization skills.
• Commercial awareness and the ability to understand broad business issues.
• Knowledge of statistical and data fetching techniques e.g., SQL querying and web scrapping.

Competencies

• Proactive approach to work, in terms of suggesting changes and improvements to processes and systems.
• Entrepreneurial and commercial thinking.
• Adapting and responding to change.
• Persuading and influencing.
• Creating and innovating.

Closing: 16 June 2022