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Quantitative Analyst
2 weeks ago
- T he p u r p o s e of th i s p o s i t i on i s t o r e a li s e t h e r e s p o n s i b i li t i es of t h e R i s k S u p p ort De p art m e n t ( R S D) of t he P r u d e nt i al A u t h o ri t y (PA).
- Detailed Description
- Develop analytical methods to analyse and interpret riskbased regulatory data submissions.
- Develop risk principles, processes and methods relating to the assessment of risk measurement models.
- Provide specialist training to PA colleagues on risk measurement models or related supervisory tools as required.
- Monitor and analyse risk measurement approaches throughout the industry, including the analysis of data and conducting of thematic reviews.
- Provide input into risk reviews.
- Interpret and consult on the Regulations relating to Banks.
- Provide input in terms of the development of prudential standards, directives, guidance notes and circulars regarding risk measurement models to ensure the implementation of sound risk measurement practices.
- Assess material changes made to the risk measurement models used for the regulatory capital calculation of banks.
- Develop and maintain knowledge relating to regulatory capital models and the use thereof within banks.
a Postgraduate qualification Econometrics, Mathematics, Statistics, Actuarial Science or any relevant qualification; and
- five to eight years' working experience in model development and/or model validation in the financial sector.
The following would be an added advantage:
- Chartered Financial Analyst (CFA), Financial Risk Manager (FRM) or Professional Risk Manager (PRM) certification; and
- Additional requirements are as follows:
- analytical/problem-solving capabilities;
- effective time management skills;
- strong verbal and written communication skills;
- ability to work in a team and contribute to team success;
- knowledge of the risks banks face;
- competence in basic office information technologies including SAS, Python or VBA;
- knowledge of banking products;
- knowledge of relevant components of the Regulations relating to Banks; and
- reliable own transport as the position requires regular travel between the South African Reserve Bank (SARB) offices in Pretoria/ Centurion and the offices of banks, which are generally outside of Pretoria.
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**The SARB offers remuneration and benefits commensurate with the level of the position and in line with the market. The level at which the successful applicant will be appointed will depend on his/her competence and experience.
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