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Senior Quantitative Analyst

Vacancy Details

Reference No.

MP-41475

Synopsis

A leading financial services provider, is seeking a Senior Quantitative Analyst specialising in loss forecasting with in-depth programming skills in MATLAB, SAS and C#. Under this role, contribute to the development and rollout of the loss forecasting credit stress testing work streams of the company’s IFRS9 and credit 2020 program.

Description

  • Gain understanding of current loss forecasting framework (calculation engine as well as user interface)
  • Stay abreast of the various IFRS 9 modelling methodologies across retail and wholesale products
  • Take ownership of the development aspects of the loss forecasting framework and keep the framework up to date as the methodology evolves
  • Contribute to the development of methodological aspects of loss forecasting and bottom-up credit risk stress testing
  • Conduct ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival Models as well as overall impairment calculations for retail and wholesale-type portfolios
  • Conduct independent credit risk stress testing related research and use it as input into proposals and strategies
  • Engage with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from loss forecasting work stream
  • Keep methodology and other documentation up to date as the work stream evolves
  • Provide guidance on IFRS 9 and credit stress testing related topics to junior members of the team
  • Support input into the company’s strategic planning process and assist with recommendations on credit strategy through insightful analysis
  • Stay abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital)
  • Support enhancement of internal credit risk reporting capabilities
  • Outputs / deliverables (main items) Further development of bottom up loss forecasting / credit stress testing methodology and customisation of the framework to include a number of additional portfolios
  • Provide quantitative analysis to support the model methodology and implementation to ultimately ensure a robust and accurate bottom-up credit stress testing model

Requirements

  • Post graduate degree in Mathematics / Financial Mathematics / Statistics / Quantitative Risk Management / Applied Mathematics
  • 7+ years of quantitative modelling experience in the area of credit risk (e.g. stress testing, Basel modelling, IFRS 9 modelling, pricing)
  • Very good programming skills (Matlab, SAS, C#)

Kindly note, if you have not heard from us within two weeks of your application please consider it unsuccessful

Position Type

Permanent

Work Level

Senior

Salary

Market Related

Industry

Banking/Finance And Investment

Salary Type

Annually

Package

Cost To Company

Affirmative Action

Yes

Geographic Location

Gauteng - JHB CBD