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Senior Quantitative Analyst

Vacancy Details

Reference No.

MP-42501

Synopsis

A prominent organisation in the banking sector is currently seeking an individual to assume the role of Senior Quantitative Analyst for their Credit Model Validation division. The successful incumbent will be responsible for contributing to the development and maintenance of best practice models and assessment strategies which aim to facilitate world class risk management.

Description

  • The role provides in-depth exposure to the organisations credit risk measurement models used for the calculation of regulatory and economic capital, as well as credit impairments. Your work will be focused on either wholesale models and you will be required to interact with senior modellers and executives on a regular basis.
  • The role offers high visibility as analyses and reports will be tabled at board level committees, the South African Reserve Bank and the organisations internal and external auditors.
  • The validation function assures the Board, the external auditors of the organisation and SARB of the high standard and regulatory compliance of the credit risk models, the rating processes and IFRS 9 impairment models.
  • You will be required to provide constructive challenge to business and recommend improvements to models as a subject matter technical expert.
  • This is a balanced role, focusing on technical expertise as well as softer behavioural competencies (e.g. conflict resolution, negotiation skills).
  • Communication, report-writing, project management, general credit knowledge and people skills are honed in addition to the solid technical on-the-job experience.
  • While this is a validation function, analysts are encouraged to develop challenger models and assist the organisation in rationalising the number of credit models across the Group.

Requirements

  • Post graduate degree in Statistics/Mathematics, CFA/ FRM/CQF.
  • 3-5 years relevant experience in an analytical environment.
  • Ability and experience in conducting independent research and compiling feedback thereof at an appropriate level for the target audience.
  • MS Office (advanced user).
  • SAS (advanced user, non-negotiable for retail).
  • VBA (preferred).
  • Basel II, III and South African Regulations.
  • Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach.
  • Statistical and financial modelling skills.
  • Knowledge of IFRS 9 Financial Instruments standard for the calculation of credit impairments.
  • Understanding of credit modelling and rating process.

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 North