Data Scientist – Credit Risk Model Development (IFRS 9)

Job Description

To plan, build, optimise and implement innovative quantitative analytical methodologies, procedures, products and advanced mathematical models that provide analytical support and interpret insights, to address business opportunities and problems and implement business strategy, with minimal guidance.

Hello, Future Data Scientist – Credit Risk Model Development (IFRS 9)

We are seeking an Intermediate Data Scientist with proven, hands-on experience building IFRS 9 credit risk models within a banking or regulated financial services environment. This role is suited to a modeller who has personally developed and implemented models end-to-end and can confidently own methodology, assumptions, and outcomes.

Are you someone who can:

• Build, calibrate, and implement IFRS 9 credit risk models (PD, LGD, ECL). 
• Own the full model lifecycle: data preparation, feature engineering, development, testing, calibration, implementation, and monitoring.
• Apply IFRS 9 concepts in practice, including Stage 1, Stage 2, and Stage 3 classification. 
• Prepare robust, defensible model documentation for validation and audit. 
• Engage with validation and audit teams as a model developer and owner.

You will be an ideal candidate if you have:

• 3–5 years’ experience in credit risk or regulatory model development. 
• Delivery of at least 2 end-to-end production models. 
• Hands-on experience building IFRS 9 PD and/or LGD models (not exposure only). 
• Experience in a banking or regulated financial services environment. 
• Strong practical understanding of ECL and staging logic.

Technical Skills

• Strong hands-on experience with Python or SAS. 
• Solid SQL for data extraction and preparation. 
• Statistical modelling techniques including Logistic Regression, Survival/Time-to-Default models, and performance metrics (AUC, KS, PSI).

Qualifications

• Bachelor’s degree in Statistics, Mathematics, Data Science, Engineering, Actuarial Science, or related field. 
• Postgraduate qualification will be advantageous but not required.

You will have access to:

• Opportunities to network and collaborate.
• Challenging Working
• Opportunities to innovate.

We can be a match if you are:

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

If you’ve built IFRS 9 models and want to take the next step. Apply now!

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Important Closing Date Note

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

11/05/26

All appointments will be made in line with FirstRand Group’s Employment Equity plan. The Bank supports the recruitment and advancement of individuals with disabilities. In order for us to fulfill this purpose, candidates can disclose their disability information on a voluntary basis. The Bank will keep this information confidential unless we are required by law to disclose this information to other parties.