Job Description

Hello Future Head of Credit Risk Modelling

Welcome to FNB, the home of the #changeables. We design for the shapeshifters and deliver products and services that make us incredibly proud of people that make it happen.

Role Purpose:

The Head of ECL & Basel III Model Development leads all IFRS 9 and Basel III/AIRB credit risk model development, including PD, LGD, EAD, staging, macroeconomic, downturn, and RWA models.

The role ensures models are:

• Robust and methodologically sound
• Compliant with IFRS 9, Basel III and supervisory standards
• Properly governed, documented, and defensible
• Fit for business decision‑making, capital planning and reporting

This role provides quantitative leadership, sets modelling standards, and drives consistency across all credit risk methodologies.

Are you someone who can:

• Lead modelling strategy for IFRS 9 (ECL) and Basel III.
• Manage and develop a team of quantitative specialists.
• Drive innovation in model methods (ML, survival models, downturn techniques).
• Oversee IFRS 9 models (PD/LGD/EAD, staging, macro models, overlays).
• Oversee Basel AIRB models (TTC PD, downturn LGD, EAD/CCF, RWA framework).
• Ensure regulatory compliance (Basel III, PA, ICAAP).
• Present model insights to senior risk and capital committees.
• Lead data strategy, model systems, and governance controls.
• Manage model monitoring, recalibration, and remediation activities.

You will be an ideal candidate if you have:

• Master’s or PhD in Quantitative Finance, Statistics, Mathematics, Economics, Financial Engineering, or related fields.
• Certifications like FASSA, CFA, preferred.
• Expert in IFRS 9 and Basel III IRB/AIRB.
• Strong PD/LGD/EAD, RWA, and macro‑scenario modelling expertise.
• Proficient in Python, SAS, R, SQL.
• 10–15+ years in credit/capital modelling with leadership experience.
• Strong communication with executives, auditors, and regulators

You will have access to:

• Opportunities to network and collaborate.

• Challenging working environment
• Opportunities to innovate.

We can be a match if you are: 

• Curious & courageous - you're driven by always wanting to know more and learn more and you're 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.

Are you interested to take the step? We look forward to engaging with you further. Apply now!

#post

#FNB

#LI-CD1

Job Details

Take note that applications will not be accepted on the below date and onwards, kindly submit applications ahead of the closing date indicated below.