Analyst Model Risk Validation

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Job Summary

As an Analyst within the team, the expectation will be to perform and review model validations in accordance with the model risk policy, take on a team/project lead role and be accountable for the delivery of work by junior members of the team.

Within validation the incumbent will conduct validations on a diverse range of AGL models, produce validation reports, negotiate the findings & actions with internal and external stakeholders and influence the continuous improvement of model quality & use. These areas make use of a wide range of models (Regulatory Capital, Economic Capital, impairments, pricing, behavioural, application, stress-testing, valuation, derivatives, insurance risk, etc.) and cover products used across all of AGLs business units.

This role is ideal for a candidate that wants to develop multi-dimensional skillset, is looking for a role that provides great visibility within the firm and wants to be in a position that will promote big-picture strategic thinking.

Job Description

Accountability: Model validation/monitoring (75%)

·    Execute validation/monitoring of models assigned to you by following each step in accordance to the IVU process. Specifically, ensure that all information required for the validation/monitoring is available on time, as received from Model Owner (MO) and/or Model Development (MD).

·    Ensure submission and completion milestones have been communicated to relevant stakeholders for the models assigned to you.

·    Complete assigned models on time according to the IVU planning schedule.

·    Use agreed templates and tools.

·    Validate/monitor models in accordance to internal and external requirements (e.g. as set out in the Group Model Risk Policy - GMRP and associated standards, Basel regulations, Prudential Authority - PA regulations long-forms, IFRS9, etc.).

·    Produce a report requiring minimum corrections as part of senior analyst / management review.

·    Document model recommendations/findings and relevance thereof to model use. Agree resolution actions and resolution timelines with affected counterparties and document these in the report.

·    Ensure that all findings that are resolved are evidenced and that you have checked and recorded as such.

 

Accountability: Management of Stakeholder Relationships (10%)

·    Develop a professional relationship with all stakeholders. These include, but are not limited to, model owners, model developers, and audit.

·    Good communication of model findings to all stakeholders.

·    Either address (where able and competent) or escalate material concerns or bottlenecks to line manager (or relevant stakeholder) as early as possible to enable actions to be taken pre-emptively.

·    On an ongoing basis, interact with internal stakeholders (e.g. model developers, IVU colleagues, model owners, model implementation, business representatives, etc.) to ensure common understanding of findings and concepts.

 

Accountability: Development of Technical and Product Knowledge (15%)

·    Develop own technical knowledge, regulatory/policy knowledge and softer skills independently from scheduled team training.

·    Exposure to diverse range of models across different business areas.

·    Identify and escalate any conceptual or big picture risks (incl. changes to the regulatory landscape) in respect of IVU and AGL.

·    Strive to receive regular 360 feedback to facilitate sight of blind spots and develop oneself.

·    Attend and actively participate in citizenship/training events.

·    Ensure simple administrative issues are addressed adequately and within agreed timelines - such as performance review process, completion of assigned training etc.

Bachelor`s Degrees and Advanced Diplomas: Physical, Mathematical, Computer and Life Sciences (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.

Absa Bank Limited reserves the right not to make an appointment to the post as advertised