Quantitative Market Risk Analyst

3 weeks ago

Centurion, South Africa Group Finance Full time

**Introduction**
- The Quantitative Analytics and Liquidity Risk Management team is a dynamic group of professionals within the Balance Sheet Management Function dedicated to mastering risk management and precisely quantifying risk. We offer quantitative support for Credit Risk, Market Risk, and Liquidity Risk, and we also serve as the primary risk owners for Liquidity Risk.**Disclaimer**
- As an applicant, please verify the legitimacy of this job advert on our company career page.**Role Purpose**Requirements**:

- Quantitative based PhD, Masters, or Honours Degree
- 5-10 years of quantitative finance and development /programming
- Programming and development experience in the following languages: Python, SQL and Visual Basic
- Database design, development management skills
- Financial mathematics and modelling skills

**Duties & Responsibilities**
- Have an attitude of continuous learning to be part of our journey into Artificial Neural Networks, Machine Learning (AI).
- Develop an understanding of the markets and portfolios that are managed in BSM In order to identify quantitative use cases.
- Design input data templates to be used in the financial risk measurement and instrument validation processes.
- Design and implement processes to source input information from internal risk systems to support financial risk measurement.
- Design and implement processes to source market information from external vendors to track financial metric performance.
- Develop and implement quantitative tools to measure financial risks using computational programming tools.
- Design, develop and maintain a database to store market and financial risk metrics to track risk
- Design reporting tools to extract data from database to develop insights into risk exposure changes over time.
- Automate internal risk measurement, monitoring and reporting process used in the risk management function.
- Perform SAM stresses for the market risk portfolio
- Perform any additional stresses required by the Enterprise Risk Management team
- Use your understanding of financial instruments to validate that they have been correctly assimilated into the Murex system.
- Bootstrap curves
- Validate that the yield curves in use are complying with our curve construction criteria.
- Monitor exposures against VAR Limits and escalate breaches to the Head of Quants and ALM.
- Engage with the PA regarding market risks and yield curve construction methods applied in
- Stay abreast with regulatory changes in the market risk and yield curve
- Translate contents of reports to various internal governance forums and ensuring that management has a thorough understanding of the market risks carried on the Balance Sheet and the market risk reports.
- Identification, assessment, and quantification of market risks on the Balance Sheet across shareholder exposures.
- Communicate with various role-players to obtain the appropriate levels of input, buy-in and
- Identify any potential weaknesses in the market risk processes and make

**Competencies**
- Business Acumen
- Client/Stakeholder Commitment
- Drive Results
- Leads Change and Motivation
- Collaboration
- Impact and Influence
- Self-awareness and Insight
- Diversity and Inclusiveness

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