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Quantitative Analyst

Vacancy Details

Reference No.

MP-42849

Synopsis

Our client, a small enterprise financial services provider, is seeking a Quantitative Analyst to assist with the development and enhancement of credit risk management methodologies and tools that will minimise any possible credit risk for the company.

Description

  • Ensure compliance with risk management policies.
  • Design a roll rate (RR) and probability of default (PD) models for business and wholesale portfolio.
  • Review and statistical validation and calibration of the company credit risk rating models to increase predictive power of the company risk rating models.
  • Review of a full independent IFRS 9 impairment audit, which includes modelling roll rate, PD and LGD’s.
  • Build Expected Loss (EL) calculation model as well as stress testing components in EL calculations.
  • Perform independent IFRS 9 impairment methodology development and validations including scenario analysis and stress testing across the company’s portfolios.
  • Develop reports by leveraging off the regulatory reporting process.
  • Design and Develop EAD and PD under new IFRS 9 standards and Basel.
  • Build forecasting models using economic factors.
  • Manage and train relevant staff on credit risk rating, PD, EAD and Expected Loss models.
  • Work with Independent Consultants in the Gap Analysis and the implementation of IFRS 9 in the company.
  • Work with Head Credit, minimise risk by enabling compliance and operational responsibilities.

Requirements

  • A degree in either Mathematics or Statistics.
  • Postgraduate qualification in Mathematics or Statistics will be an added advantage.
  • 3 to 5 years’ work experience in the financial or Auditing sector.
  • Knowledge of credit risk Measurement and Quantification.
  • Knowledge and experience of IFRS 9 Impairment models.
  • Knowledge and Experience in building of PD EAD and LGD Models.
  • Knowledge and Experience of statistical Validation and Calibration of PD and EL Models.
  • Build forecasting models using economic factors.

Kindly note that if you do not hear back from us within two weeks, kindly consider your application 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 - Centurion