Kagiso Matlawa
Manager
Pretoria
Summary
I am a dedicated and results-driven professional with extensive experience in the banking industry, particularly in credit risk quantitative analytics. I have extensive experience in AIRB Basel Regulatory Capital Models, IFRS 9 models, and Credit Scorecards. I possess strong analytical and problem-solving skills. My strong inter-personal skills enable me to build and maintain relationships with stakeholders and team members. I am committed to continuous learning and professional development. I have worked for reputable banks such as Absa, South African Reserve Bank, Nedbank and Discovery Bank. I am currently employed at True North Partners as a Manager.
Overview
15
15
years of professional experience
Work History
Manager
True North Partners
Sandton
01.2023 - Current
- Currently engaged in a validation project for a retail bank, focusing on Behavioural Curves used as input into the Profit Model.
- Conducted an annual review of a Slotting Model for a Specialised Lending Exposure (IPRE) for a UK bank.
- Performed an annual validation of an AIRB Probability of Default model for a commercial bank.
- Involvement in Internal Capital Adequacy Assessment Process (ICAAP) project for Retail Bank, with a focus on identifying and quantifying Economic Capital for both Operational risk and Integration risk.
Manager of Models and Measurement
Discovery Bank
09.2020 - 12.2022
- Development of IFRS 9 Impairment models (PD and EAD) for the Credit Card Portfolio.
- Maintenance of IFRS 9 PD and EAD model.
- Recalibration of IFRS 9 PD and EAD model and Macro-economic model.
- Reviewing and Providing guidance on SICR Monitoring.
- Reviewing and Providing guidance on Scorecards Monitoring (Application and Behavioral scorecards).
- Reviewing monthly impairments numbers.
- Reviewing monthly Credit Risk BA 200 return.
- Providing commentary for BA 200 graphs.
Senior Quantitative Analyst
Discovery Bank
Sandton
02.2018 - 09.2020
- Development of IFRS 9 PD and EAD models.
- Built from scratch Loss Given Default framework.
- Development of Behavioral Life used for lifetime.
- Monthly Expected Credit Loss Calculation.Significant increase in Credit Risk analysis.
- Development of scorecard performance monitoring for Application and Behavioral Scorecards.
Senior Quantitative Analyst
Nedbank
01.2017 - 01.2018
- Application scorecard: NGR Tactical Overrides
- Application scorecard independent review
- IAS 39 Impairment models reground.
- IFRS9 Expected Loss Calculation and Significance increase in Credit Risk analysis.
- Data analysis i.e. extraction and analysing credit risk data, resizing of portfolios and impact analyses
Quantitative Analyst
South African Reserve Bank
01.2015 - 12.2016
- Assessing banks’ applications to calculate regulatory capital requirements on an advanced measurement approach.
- Assessing proposed changes of the regulatory capital calculation of banks already on an advanced approach.
- Conducting cyclical reviews of the assumptions used in banks’ measurement systems and the validation of advanced approaches to calculate regulatory capital requirements.
- Developing analytical methods for risk-based regulatory returns.
- On-site reviews for Internal Capital Adequacy Assessment Process for the 4 big banks.
- Providing specialist support in quantitative analysis throughout the Bank Supervision Department (BSD).
Quantitative Analyst
ABSA
01.2014 - 12.2014
- Thorough and robust validation of impairments models across all retail unsecured products.
- Run the models monthly to produce Impairment LGD numbers for business.
- Interpretation of the results so that they make business sense.
- Enhancement of the current Impairment models across all unsecured products.
- Prepare quarterly monitoring reports for the impairment LGD models.
- Discuss model results and implications with product heads.
Risk Analyst
ABSA
01.2010 - 12.2013
- Develop monitoring packs for new Credit Risk models, according to the Group Model Risk Policy (GMRP) using a combination of SAS and Microsoft Excel programming, for any new models in the portfolio approved at the Absa Credit Risk Technical Committee (CRTC).
- Discuss monitoring inputs, results and implications with model developers as well as model owners after the completion of the monitoring packs but before submission of documentation to the relevant meetings.
- Verbally present monitoring results formulated and documented to the members present at the Absa Credit Risk Model Validation and Performance Monitoring Technical Committee (CMMC).
- Recommend Post Model Adjustments (PMA) to the CMMC for models not performing up to standard as measured by triggers agreed between business and the analyst.
- Complete the relevant sections (monitoring) forming part of the SARB Self-Assessment process, for all assigned models.
Education
Bachelor of Science (BSc) - Mathematics and Physics
University of Pretoria
Bachelor of Science (BSc) Honours - Financial Engineering
University of Pretoria
Skills
- Microsoft Office
Statistical Analysis Software (SAS)
- Excel
- Python
Key Experience
- Development of IFRS 9 Impairment models (PD and EAD) for the Credit Card Portfolio
- Validation of Credit Risk Model (Basel II (AIRB) Models and across Retail Products.
- Application and Behavioural Scorecard Performance monitoring and validation across all Retail Products
- ICAAP
- Presenting at technical committees
Timeline
Manager
True North Partners
01.2023 - Current
Manager of Models and Measurement
Discovery Bank
09.2020 - 12.2022
Senior Quantitative Analyst
Discovery Bank
02.2018 - 09.2020
Senior Quantitative Analyst
Nedbank
01.2017 - 01.2018
Quantitative Analyst
South African Reserve Bank
01.2015 - 12.2016
Quantitative Analyst
ABSA
01.2014 - 12.2014
Risk Analyst
ABSA
01.2010 - 12.2013
Bachelor of Science (BSc) Honours - Financial Engineering
University of Pretoria
Bachelor of Science (BSc) - Mathematics and Physics
University of Pretoria
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