About The Opportunity
Capitec Business Bank is growing rapidly, and so is our need for rigorous, independent model validation. We are looking for a senior quantitative specialist to lead the independent validation of all models developed and used in our Business Bank, spanning credit scorecard models (granting, behavioural and collections), IFRS 9 provisions, regulatory capital, pricing and business forecasting. You will conduct thorough, independent model validations in line with applicable standards, frameworks and regulatory requirements. In this role you will apply deep technical expertise across the full suite of Business Bank models, providing credible, well-reasoned validation findings that inform model approvals, risk ratings, and remediation plans.
The Model Scope
You will conduct independent validation across all Business Bank models, including:
Credit scorecard models: granting scorecards, behavioural scorecards, and collections scorecards
Credit pricing models
IFRS 9 Expected Credit Loss (ECL) / provisions models: PD, LGD and EAD components; staging logic and forward-looking adjustments
Regulatory capital models: credit risk capital under standardised and IRB approaches (Basel III/IV)
Business forecasting models: credit loss forecasting, portfolio growth projections, and stress-testing models
Experience Required
Expert-level model development and/or independent model validation across all major credit risk model types
Conducting model validation reviews and producing high-quality validation reports with clear risk-rated findings
Engaging model owners and senior stakeholders to communicate technical findings and drive remediation
Quality assurance of models and contributing to peer reviews of others' work
Working within a model risk governance or model risk management environment
Qualifications
Master's degree in Actuarial Science, Mathematics, Statistics, Engineering, Computer Science or a related quantitative/STEM field + minimum 6 years' relevant experience; OR
Honours degree in a quantitative/STEM field + relevant technical qualifications (e.g. FRM, PRM, or equivalent) + minimum 8 years' relevant experience
Experience must include hands-on model development or independent model validation in a regulated financial institution
Technical Skills
Advanced modelling techniques applied to credit risk: logistic regression, survival analysis, Markov chains, linear regression
SQL, Python, R, and/or SAS at an expert level for model replication, testing, and analysis
Power BI or equivalent: building and interpreting model performance monitoring dashboards
Understanding of model governance practices: model risk rating, validation documentation standards, and MRM committee reporting
Domain Knowledge
Deep credit risk knowledge: scorecard development and/or validation (granting, behavioural, collections), PD/LGD/EAD modelling, IFRS 9 ECL frameworks, staging logic and forward-looking adjustments
Regulatory capital: Basel III/IV credit risk capital under standardised and/or IRB approaches
Business forecasting and stress testing in a banking context
Expert-level understanding of modelling techniques: logistic regression, survival models, and Markov chainsRegulatory environment: IFRS 9, Basel III/IV, SARB/PA model risk guidance, NCR, POPIA