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Senior Quantitative Analyst

Vacancy Details

Reference No.

TS1-44186

Synopsis

A financial services provider is seeking to employ a Senior Quantitative Analyst to develop, maintain and improve data analytics and statistical modelling methods used to inform senior management on operational risk exposures and trends needed in executing its business plan.

Description

  • Provide support to the end of life advanced measurement approach (AMA) and its successor (new standardized approach) for operational risk capital modelling

Research and development of data analytics methodologies:

  • Develop and maintain cross-validation of various risk management tools such as indicators, scenario assessments, incident management and external data
  • Develop and maintain risk-sensitive allocation methods for capital and expected losses
  • Enhance (with assistance from IT business partners) the central risk database by identifying new data sources which can be used by this team for analyses purposes
  • Continuously seek ways to improve the analytics methodology through remaining aware of the latest regulations, relevant regulatory guidance notes and methods in this field of study
  • Identify and make recommendations to improve the incident management process and scenario analysis process which are two key processes for managing operational risk

Implementation of data analytics methodologies:

  • Clean and transform relevant operational risk data in preparation for its use in various data analytics tools
  • Maintain adequate technical documentation regards the data analytics methodologies
  • Perform regular updates of the data analysis results according to the needs of the business

Operational risk capital model support:

  • Perform semi-annual re-estimation of the bank’s operational risk capital utilisation
  • Clean and transform incident data and scenario analysis data into the format required by the capital model
  • Maintain adequate technical documentation regards the capital model methodology
  • Provide the bank’s model validation team with adequate technical information to allow them to discharge their annual obligation to independently validate the capital model
  • Collate and report capital model results such as economic capital, regulatory capital and expected losses to relevant business and risk committees
  • Continuously seek ways to improve the economic capital model methodology used for the group’s banking operations and captive insurance company through remaining aware of the latest regulations, relevant regulatory guidance notes and quantification methods in this field of study

Maintain other operational risk capital demand models / scorecards:

  • Maintenance of the organisations’ economic capital model
  • Maintain the organisations’ economic capital models as per service level agreement (SLA)
  • Maintain and regularly enhance the operational risk economic capital scorecard used for Africa Regions

Implement Basel Framework amendments:

  • Design and maintain an optimal process for implementing the new standardized approach for operational risk regulatory capital demand estimation

Actively participate in industry collaboration activities:

  • Participate in Operational Riskdata Exchange (ORX) projects and surveys
  • Keep abreast of latest developments in industry and regulations
  • Organisations’ analytics working group participation when needed

Assist with supervising interns and graduate trainees rotating in the team:

  • Supervise interns or graduate trainees that rotate in our team
  • Show these individuals how to perform data analytics tasks

Support the group’s model risk management function:

  • Assist with maintaining, enhancing and embedding the model risk appetite
  • Assist with maintaining and enhancing the model risk economic capital quantification methodology
  • Assist with the enhancement of the organisations’ Model Risk Governance Framework
  • Participate in the Model Management Workgroup

Requirements

Qualifications and Experience

  • Honours Degree (field of study: Mathematical Sciences)
  • Preferred: Doctorate (field of study: Mathematical Sciences)
  • 4-year Degree in other subject areas such as Business Analytics, Data Analytics, Data Science, Quantitative Risk Management, Statistics, Engineering or Physics

Requirements and Skills

  • Quantitative Analysis
  • Financial Industry Regulatory Framework
  • Development
  • Root Cause Analysis
  • Quant Skills
  • Risk Awareness

 

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

Monthly

Package

Cost To Company

Affirmative Action

No

Geographic Location

Gauteng - JHB North