Quantitative Specialist: Capital Management

2 weeks ago


Centurion, South Africa Secondments Full time

Key Performance Areas

**1.Develop and Maintains Capital Management Models**
- Responsible for assisting in the ongoing production, analysis and reporting of capital forecast information including, but not limited to, regulatory capital as well as the Net Stable Funding Ratio (NSFR) and Liquidity Coverage ratio (LCR)
- Prepare a forward-looking capital plan to be included in the Annual Corporate Plans Borrowing Strategy of the company that account for the bank unique risks and sufficient capital to continue operations throughout times of economic and financial stress
- Maintenance and Enhancement of capital forecasting systems and tools, associated processes, and related documentation
- Participate in development and execution of Economic Capital methodologies and Stress testing models for the Banks asset and liability portfolio.
- Analyse portfolios both for commercial, retail and business partners (SLA agreements) to look at trends to support economic capital and stress test numbers and calibrate stochastic scenario models including modeling "tail" scenarios.

**2.** **General modelling responsibilities**
- Develops and performs processes for model monitoring.
- Completes testing on model assumptions, theory, empirical evidence, implementation and limitations.
- Perform routine analysis for model performance monitoring and model review, maintaining current model inventory for validation and audit compliance.
- Maintain "override statistics"
- Develop and maintain documentation of procedures and processes.
- Maintain thorough technical, procedural, processing, and system knowledge.
- Obtain and conduct data analysis required for stress testing model development.

**3. General Reporting & Research**
- Prepare reports and presentations, delivering information for use in Executive level reports and financials
- Write or assist in the drafting of ad hoc and recurring reports.
- Keep current regarding latest industry developments and trends affecting the regulatory environment, banking industry and the organisation.
- Perform ad-hoc analyses as and when needed.

Preferred Minimum Education and Experience
- B Degree in Applied Mathematics, and / or Statistics / Accounting
- 3 years experience in Quantitative Analyst in a credit granting environment and in financial markets
- 2-3 years experience in Statistical Software

Critical Competencies
- Statistical software 4
- Microsoft Office 5
- BASEL 3
- IFRS (relevant standards) 4
- Data Analysis 5
- Financial Risk Management Principles 3

Additional Requirements
- Travel as and when required.
- Extended hours as and when required


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