Consultant

• Sep 2016 - Present

Senior Quantitative Risk Manager

• Nov 2013 - Sep 2016

Engaging with business unit stakeholders to understand the needs in terms of new methodologies (PD, LGD and EAD) required. Developing such methodologies as per these requirements and also ensuring models developed align to both internal and external policies.Guiding and assisting junior quants in the team with new methodologies to be developed or changes/validations to existing methodologies.Training credit analysts on new and existing methodologies annually or as required.Assisting credit analysts and business unit stakeholders on deals and model queries.Actively managing the projects and responsibilities in the team, both regulatory and internal projects. Allocating projects to available resources and also following up to ensure progress but also to give guidance if needed to ensure deadlines are met.Drafting change request documents to implement new models or make changes to existing models on the system that hosts the credit risk models within the bank.Implementing new model or changes to existing ones in the calculation engine (called Visual Rules) that drives these models on the system.Member of Group's Wholesale and SME Credit Technical committee which involves reviewing and challenging methodologies & validation results presented for approval. Show less

Quantitative Risk Analyst

• Mar 2010 - Oct 2013

Performing annual validations of Wholesale credit risk capital models (PD, LGD and EAD) including numerous validation tests to assess model performance.Assisting in the development of new methodologies as per business unit/stakeholder requirements.Presentation for approval of new methodologies as well as annual validations of existing methodologies to FSR Wholesale and SME Credit Technical Committee.Completing self-assessments to ensure models are aligned to requirements set out in Basel II.Assisting credit analysts on deals and on model queries.Drafting change request documents to implement new methodologies or make changes to existing methodologies on the system that hosts all credit models. Show less

Quantitative Analyst

• May 2008 - Feb 2010

Analysis and review of Retail, Wholesale and SME models within FirstRand Group. Ensuring models are aligned with various frameworks & regulations including Basel II and SARB regulations. Performing validation tests at various levels on models including ranking ability, calibration and stability tests. Developed model monitoring policy and dashboard for Retail & SME models to detect breaches against thresholds set. Developed a backtesting framework for models used throughout FirstRand Banking Group. Participation in a project relating to the monitoring of application scorecards within the Group. Show less