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Senior Quantitative Analyst : Stress Testing

Vacancy Details

Reference No.



An illustrious financial services provider is currently seeking an individual to take on the role of Senior Quantitative Analyst: Stress Testing. The successful incumbent will be responsible for the development, support and implementation of best-practice credit risk stress and scenario testing, as well as loss forecasting models, frameworks and processes.


  • 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, and contributing to the development of methodological aspects of loss forecasting and bottom-up credit risk stress testing.
  • Develop (with BUs) best practice, bottom-up loss forecasting and credit stress and scenario testing models and capabilities.
  • Take ownership of the loss forecasting and stress testing framework and keeping it 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 processes.
  • Support input into the organisation's strategic planning process and assisting 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.
  • 4+ 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).
  • Strong 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


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Market Related


Banking/Finance And Investment

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Geographic Location

Gauteng - JHB North