Quantitative Credit Analyst

2 weeks ago

Cape Town, South Africa Moving Heads Personnel Full time

Responsible for the investment strategy of shareholder assets in SA with oversight role across ROA and the organisation. The credit function within the Investment Strategy team is responsible for cR110bn of assets spanning wholesale credit, various businesses, investment portfolios, unsecured lending, and securitisations as well as SME lending.
- The quantitative credit analyst will report to the Head of Credit, within the Group Balance Sheet Management team.
- Develop and maintain the tools and infrastructure used by the group to aggregate credit risk exposures across the group, including economic capital and earnings at risk models. Using these tools - assist the Head of Credit to set the risk appetite and risk budget for the various credit business units in the group. Assist the various credit business units to enhance existing credit models used to assess the PD, LGD and other credit metrics.
- Assist the Head of Credit to identify and quantify the impact of various portfolio tilts, and work with the various credit business units to implement these tilts within the set risk appetite. Communicate the changes in the credit risk profile over reporting periods to senior management which will require the ability to simplify a large amount of data and technical aspects and to pitch this to executives within the group.
- Implement the various credit risk aggregation tools, such as economic capital and earnings at risk to allow an aggregated view of the credit exposures.
- Maintain and update the technical credit risk models underlying the above tool. This expands to the model documentation and the annual validation process.
- Calculate the aggregated credit risk exposure across the group on a monthly/quarterly basis, ensuring the accuracy of the various data feeds and being able to explain the changes in the credit risk profile over the period. Work with the various credit business units to understand changes within their portfolios.
- Enhance the tools available to allow for inclusion of new credit business units and products.
- Assist the Head of Credit to set the risk appetite and supporting credit risk limits and targets for the various credit business units.
- Cascade the set risk budget to each of the credit risk business units by tailoring the risk budget to the tools and measurements used within the various credit business units.
- Assist the Head of Credit to identify and implement various portfolio tilts using the credit tools and stated credit risk strategy.
- Develop strong relationships with the credit quants in the various credit business units to ensure a good understanding of the maturity of the credit quants capability and where required assist these business units to enhance and improve existing models.
- Form part of the technical credit risk model approval committee that approves all credit risk models across the group.
- Honors Degree in Mathematics, Actuarial Science, Finance, Financial Engineering, Quantitative Analytics. A postgraduate / second qualification in the related field will be advantageous.
- **Min 5 years’ experience in a banking environment** with detailed hands-on experience in developing and maintaining the various **credit risk models (PD, LGD and other credit models), across both retail and investment credit.**
- Experience with economic capital modelling and other tools to aggregate credit exposures across risk dimensions will be advantageous.

29.8lo

**Job Types**: Full-time, Permanent

Ability to commute/relocate:

- Johannesburg, Gauteng: Reliably commute or willing to relocate with an employer-provided relocation package (required)

**Education**:

- Bachelors (preferred)

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