Senior Specialist: Quantitative Analyst

2 weeks ago


Sandton, South Africa Absa Bank Limited Full time

Bring your possibility to life Define your career with us
- With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.Job Summary

The Quantitative and Data Analytics Team applies Mathematics, Software Development, and Financial Market knowledge to;
- Solve applied pricing problems and
- Provide data insights that influence business strategy.

**Job Description**:
**Responsibilities**:

- Continuous engagement with stakeholders to define requirements for Derivatives Pricing functionality (with an emphasis on XVA’s).
- Abstraction of business problems into mathematical and ultimately computational solutions.
- Undertake relevant research in various aspects of Derivative Pricing practice.
- Continuous learning in Derivative Pricing trends and relevant Regulatory changes.
- Understanding the architectural principles of the in-house Pricing Library and the Software Development Framework.
- Develop Production quality Computational Software in accordance with established principles.

Profile
- Minimum 5 years of experience in Quantitative Analytics.
- Mature knowledge of XVA’s (such as CVA, FVA, ColVa etc.)
- Mature knowledge of current regulations impacting Derivative markets (SACCR, FRTB-SA, FRTB-SACVA, Bilateral OTC regs. etc.)
- Mature knowledge of credit mitigants such as ISDA netting/CSA.
- Mature knowledge of the role of collateral as a credit mitigant and collateral operations
- Mature knowledge of C# and Object Oriented Programming
- Innovator, with a keen ability to leverage existing utilities while building new and novel approaches.
- Good Communication Skills (Solution Presentations, Software Documentation)

Education
- Ideally a Ph.D. or Masters Degree in a Quantitative discipline.

Education

Bachelor's Degrees and Advanced Diplomas: Business, Commerce and Management Studies (required)
- Absa Bank Limited reserves the right not to make an appointment to the post as advertised_



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