Quantitative Analyst

3 weeks ago

Pretoria, South Africa South African Reserve Bank Full time

-T he p u r p o s e of th i s p o s i t i on i s t o r e a li s e t h e r e s p o n s i b i li t i es of t h e R i s k S u p p ort De p art m e n t ( R S D) of t he P r u d e nt i al A u t h o ri t y (PA). At the crux of these responsibilities is the promotion and enhancement of the safety, soundness and integrity of regulated financial institutions through the use of analytical and quantitative approaches.
-Detailed Description
Develop analytical methods to enhance the supervision of regulated financial institutions.
- Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
- Develop risk principles, processes and methods relating to the assessment of risk measurement models.
- Provide specialist training to PA colleagues on risk measurement models or related supervisory tools as required.
- Monitor and analyse risk measurement approaches throughout the industry, including the analysis of data and conducting of thematic reviews.
- Provide input into risk reviews.
- Interpret and consult on the Regulations relating to Banks.
- Provide input in terms of the development of prudential standards, directives, guidance notes and circulars regarding risk measurement models to ensure the implementation of sound risk measurement practices.
- Assess material changes made to the risk measurement models used for the regulatory capital calculation of banks.
- Develop and maintain knowledge relating to regulatory capital models and the use thereof within banks.
Job Requirements

a Postgraduate qualification Econometrics, Mathematics, Statistics, Actuarial Science or any relevant qualification; and
- five to eight years’ working experience in model development and/or model validation in the financial sector.
The following would be an added advantage:

- Chartered Financial Analyst (CFA), Financial Risk Manager (FRM) or Professional Risk Manager (PRM) certification; and
- an understanding of advanced internal ratings-based (AIRB) risk measurement models and systems as well as the development and validation thereof.
- Additional requirements are as follows:

- analytical/problem-solving capabilities;
- decision-making abilities with the ability to initiate action;
- effective time management skills;

- strong verbal and written communication skills;

- ability to work in a team and contribute to team success;

- knowledge of the risks banks face;

- competence in basic office information technologies including SAS, Python or VBA;

- knowledge of banking products;

- knowledge of relevant components of the Regulations relating to Banks; and

- reliable own transport as the position requires regular travel between the South African Reserve Bank (SARB) offices in Pretoria/ Centurion and the offices of banks, which are generally outside of Pretoria.

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-**24**

**The SARB offers remuneration and benefits commensurate with the level of the position and in line with the market. The level at which the successful applicant will be appointed will depend on his/her competence and experience.
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