OMF Quantitative Analyst: Credit & Impairment Specialist

Your time is now to be your exceptional best at Old Mutual!

Job Description

If you are looking for a company that offers great culture, leadership, learning opportunities, challenges, rewards, and recognition, then look no further than Old Mutual.

Who are We?

Old Mutual is a premium African financial services organisation that offers a broad spectrum of financial solutions to retail and corporate customers across key market segments in 17 countries. The lines of business include Life and Savings, Property and Casualty, Asset Management and Banking and Lending.

Old Mutual Finance was established in 2008 to provide unsecured lending products and services to the SA market. The business started with a staff complement of 34 and has since grown to over 3000 staff with more than 300 branches nationally. Within our branches, we offer insurance, transactional banking and lending products, and servicing.

Why Join Old Mutual?

Enabling our people to be their exceptional best is at the core of what we do. We are rooted in our purpose of Championing Mutually Positive Futures Every Day and believe that a great customer experience is anchored in a great employee experience.

We will provide you with a holistic experience to realise and unleash your potential.

Opportunity

The role is responsible for the development, analysis, monitoring and maintenance of impairment and loan valuation models and reporting for a retail portfolio. This includes responsibility for:

• Redevelopment or calibration of EAD, PD, LGD, FLI and models,
• Impairment reporting
• Loan valuation
• Portfolio analysis
• Model monitoring and reporting
• Model governance
• Develop new and periodically recalibrate in-use PD, EAD and LGD models.
• Development of macroeconomic models using forward looking information.
• Develop and maintain loan valuation models.
• Maintain adequate technical documentation regarding the modelling methodologies used in the valuation and impairment models.
• Keep code repository up to date with all model changes.
• Continuously seek ways to improve the modelling methodology through remaining aware of the latest regulations, accounting standards (IFRS9, Basel) relevant regulatory guidance notes and quantifications methods.
• Provide insight to stakeholders.
• Assist with the governance process to obtain approval for new and enhanced models at technical committees, model approval committees, auditors, and the banks regulators.
• Presentation of analytical results and proposals to both technical and non-technical committees, providing commentary as required

Competencies needed for this role.

• Big data manipulation and management
• Providing insights to various stakeholder
• Interpreting data
• Process automation
• Documenting facts
• Multitasking
• Challenging ideas
• Coding in statistical packages

Minimum Criteria:

• Degree with Stats/Math/Applied Maths/Financial Risk Management/Data Science/Engineering or related disciplines
• 3 Years + working within a model development, impairment or regulatory capital environment
• R, SQL, MATLAB, SAS, and Python experience advantageous

Skills

Education

Closing Date

08 August 2023

Old Mutual Limited is pro-vaccination and encourages its workforce to be fully vaccinated against Covid-19.

All prospective employees are required to disclose their vaccination status as part of the recruitment process.

Please refer to the Old Mutuals Covid-19 vaccination policy for further detail. Kindly note that Old Mutual reserves the right to reinstate the requirement to vaccinate at any point if it is of the view that it is imperative to do so.