Quants Showcase Have you been doing some stress testing at university…then why not apply for our Quants Programme and show us your skills! PBB Risk Model development In PBB Risk Model Development we build the models that assess our retail customers at various stages within the retail credit system. The models produced have to be monitored consistently to ensure that the model is still ranking risk accurately and if this is not the case, the model is re-developed. The team is sub-divided into two, with a South Africa and Africa team; the challenges in the actual model development faced by either team are completely different, for instance, in South Africa we have a well establish National Credit Regulator whereas in some African countries there is no credit regulating body. This presents an additional challenge for the Africa team. I am currently rotating in the South Africa team and I have been tasked with the stress testing of all the models used within the Vehicle and Asset Finance portfolio. This means that on a monthly basis I meet up with critical internal and external stakeholders of the portfolio and it is my duty to explain the observed model behavior and make the necessary recommendations.
Posted on: Mon, 02 Jun 2014 07:30:00 +0000
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