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Quantitative Analyst : Stress Testing

Vacancy Details

Reference No.



A notable financial services provider is currently seeking an individual to assume the role of Quantitative Analyst: Stress Testing. The successful incumbent will be responsible for the development, support and implementation of best-practice credit risk stress testing, loss forecasting models, frameworks and processes, as well as to use these to inform on strategy, planning and risk appetite.


  • Gain an understanding of the current loss forecasting framework (the calculation engine as well as the user interface).
  • Stay abreast of the various IFRS 9 modelling methodologies across retail and wholesale products.
  • Contribute to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolves.
  • Conduct ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios.
  • Conduct independent credit risk stress testing related research and using 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 the loss forecasting work stream.
  • Interrogate business’ forecast assumptions (e.g. new business volume and risk profile) to ensure high quality of overall forecasts.
  • Ensure high quality credit capital forecasts for the capital adequacy planning process.
  • Contribute to the active use of stress and scenario testing the Group to better manage risk.
  • Support input into the organisation'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 the enhancement of internal credit risk reporting capabilities more generally.


  • Graduate degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., engineering), or a Chartered Account with credit experience.
  • 2+ years’ work experience in the area of credit risk (e.g. stress testing, loss forecasting, Basel or IFRS9 modelling, or pricing).
  • Credit (e.g. risk, strategy, origination, pricing) knowledge.
  • More general analytical/quantitative skills.
  • Excellent communication and reporting skills (verbal and written).
  • Good programming skills (e.g. VBA, Matlab, SAS, R).

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

Position Type


Work Level



Market Related


Banking/Finance And Investment

Salary Type



Cost To Company

Affirmative Action


Geographic Location

Gauteng - JHB North