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Senior Quantitative Analyst : Stress Testing

Vacancy Details

Reference No.

MP-42498

Synopsis

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.

Description

  • 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.

Requirements

  • 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

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