Data Scientist (H/F)

Our client is the longest-standing and leading banking institution in Mauritius. Over time, they have diversified their business activities across market segments and geographies. The are actively involved in various markets across sub-Saharan Africa, while remaining on alert to relevant growth opportunities across the continent and beyond.

As part of our client’s Risk SBU, you will bear the responsibility of providing independent risk control as well as proactively managing key risks including credit and market risks, alongside overseeing the credit management and recovery action.

The Credit Modelling BU has the mandate to initiate, craft and deploy credit models across relevant functions of the company, in view of providing an accurate picture of the Bank’s present and future credit risk, using robust quantitative techniques and analyses.

By joining the team as Data Scientist, you will be responsible of building, running and testing credit models to assess the Bank’s credit risk.

• Build a model from scratch including data preparation as well as application of various statistical/quantitative techniques and analyses, under the supervision of the Team Leader/Senior Credit Modeller, and ensure the smooth implementation and maintenance of the model thereafter;
• Compute Expected Credit Losses under the supervision of the Team Leader/Senior Credit Modeller;
• Develop and maintain excellent collaborative relationships with model users, to create an effective exchange of information, help them better understand the model purpose and thus facilitate the implementation of the credit models;
• Ensure that the modelling of parameters are done using rigorous and sophisticated quantitative techniques and that all processes, procedures, issues and outcomes with respect to credit models are appropriately documented to cater for the needs of auditors and for reference purposes;
• Throughout the model building process, the Data Scientist is expected to conduct brainstorming sessions with Team Leader/Senior Credit Modeller on a regular basis to ensure the optimality of the model;
• Identify new opportunities to enhance existing credit decisioning and risk management processes, in line with the strategic objectives of Risk SBU and more broadly of the Bank;
• Conduct research on quantitative/statistical techniques and model building from pertinent scholarly articles on a regular basis and share findings with team members.

Tagged as: controller, finance