Analytical Optimisation Specialist
The Foschini Group
Cape Town North
5d ago

Position Description :

A challenging opportunity is available within the Credit Risk Department of TFG Financial Services. We are looking for a dynamic, highly motivated individual to provide analytical solutions to inform the overall credit strategy using state of the art techniques.

The successful applicant will directly oversee the development and implementation of credit granting strategies using prescriptive analytics.

This exciting opportunity will also provide exposure to forecasting of key portfolio measures given a set of levers and assumptions.

Job Description :

  • Responsible for all optimisation solutions within credit acquisitions, originations, limit management, authorisations, collections and recoveries
  • This will involve (but is not limited to) :
  • Deconstructing the business problem into an appropriate optimisation problem
  • Defining the objective function for the optimisation problem, considering which models need to be developed and which constraints are applicable
  • Developing action-effect prescriptive models that accurately predict the outcomes, given the customer’s behaviour and the treatment applied
  • Developing a simulation model that enables what-if analyses and provides guidance in the selection of an appropriate business strategy
  • Validate the individual component models and optimisation solution
  • Developing and overseeing deployment of strategies inferred from the optimisation solution
  • Monitoring and tracking the strategy performance to enable a quick feedback loop of key learnings
  • Responsible for analytical strategy development using various state of the art techniques (such as reinforcement learning models, SVM, decision trees, dual score matrices etc.)
  • This will involve (but is not limited to) :
  • Evaluating potential performance variables to select the appropriate target variable (multiple if needed)
  • Developing an analytical solution given key business considerations and analytical information
  • Testing the strategy outcomes for stability and intended impact
  • Evaluating the success of the solution against selected performance variables
  • Monitoring and tracking the strategy performance to enable a quick feedback loop of key learnings
  • Play a key role in the development of portfolio forecasting and simulation models using analytical techniques (time series modelling, Markov modelling, supervised learning)
  • Develop forecasting models for key levers of the portfolio (charge-off & provisioning, account movements and construct, turnover and interest)
  • Documentation of strategy (as well as test results), adhering to agreed documentation standards
  • Ensure compliance of strategies / policies with relevant legislation
  • Appropriately engage with internal and external stakeholders to improve the operating level of the portfolio
  • Research and implement contemporary machine learning techniques
  • To take up this challenging position you should have :

  • An honours degree in Mathematics or Statistics
  • At least 7-8 years’ experience in an analytical position providing predictive and prescriptive solutions to business
  • Experience in using data analysis software packages (SQL, SAS, R, Python)
  • Experience with machine learning techniques such as optimisation, logistic regression, linear regression, SVM, decision trees, K-
  • means, cluster analysis etc

  • Good strategic and conceptual abilities
  • Excellent data analysis, analytical and problem solving skills
  • Forecasting and reporting experience
  • High attention to detail
  • Excellent documentation and verbal communication skills
  • Preference will be given, but not limited to, candidates from designated groups in terms of the Employment Equity Act.

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