Quantitative Risk Analyst

2 weeks ago

Sandton, South Africa Sanlam Full time

Who are we?
Sanlam Specialised Finance (SanFin) is responsible for creation of shared value for Sanlam, its shareholders, policy holders, and societies with in which it operates by managing financial risk, developing financial products, and balance sheet optimisation, pursuing investments and financing opportunities in assets, sectors, markets, organisations, and geographies that enable maximum return within acceptable risk parameters. What will you do?
Responsible for determining prices of new derivative products and identifying schemes for managing risk on such products. Builds pricing models for trading systems. Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes. Ensures that all risks in trading book products are correctly valued. May be involved in identifying profitable trading opportunities. What will make you successful in this role?
- Report and monitor daily risk across a combination of business units. This includes but is not limited to:

- Market Risk
- Credit Risk
- Liquidity Risk
- Funding Risk
- Follow up on limit breaches and obtain explanations from the front office teams.
- Error and exception monitoring and follow-up.
- Assist with the production of management reports (fortnightly, monthly, and quarterly).
- Assist with quantitative modelling / projects etc
- Build valuation and sensitivity models from first principles
- Handle ad-hoc requests such as:

- risk related queries
- recons of information between the various systems
- data collation from different data sources (e.g., Bloomberg, Murex, etc.); and
- assist with providing business information as and when needed. Qualification and Experience MSc (Maths, Physics, Engineering) Degree with 3 to 6 years related experience Knowledge and Skills Risk analysis and management Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes. Ensures that all risks in trading book products are correctly valued. Pricing Analysis/Modeling Product Risk Mgmt Personal Attributes Business insight - Contributing through others Manages complexity - Contributing through others Financial acumen - Contributing through others Balances stakeholders - Contributing through others Build a successful career with us

We’re all about building strong, lasting relationships with our employees. We know that you have hopes for your future - your career, your personal development and of achieving great things. We pride ourselves in helping our employees to realise their worth. Through its four business clusters - Sanlam Life and Savings, Sanlam Investment Group, Sanlam Emerging Markets, Santam, as well as MiWay and the Group Office - the group provides many opportunities for growth and development. Core Competencies Being resilient - Contributing through others Collaborates - Contributing through others Cultivates innovation - Contributing through others Customer focus - Contributing through others Drives results - Contributing through others Turnaround time
The Sanlam Group is committed to achieving transformation and embraces diversity. This commitment is what drives us to achieve a diverse, inclusive and equitable workplace as we believe that these are key components to ensuring a thriving and sustainable business in South Africa. The Group's Employment Equity plan and targets will be considered as part of the selection process.

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