Quantitative Analyst

1 week ago

Pretoria, South Africa Unique Personnel Full time

**Job Number**
- 70180

**Job Type**
- Permanent

**Job Title**
- Quantitative Analyst

**Computer Skills**
- ICAAP,IFRS 9,In-depth Hedge

**Industry**
- Financial Services

**City**
- Tshwane (Pretoria)

**Province**
- Gauteng

**Purpose of the Job**:

- The Quantitative Analyst is responsible for ensuring the bank's balance sheet is appropriately modelled and maintained, as well as timely, efficient and controlled risk reporting and position monitoring of Treasury transactions and the balance sheet.
- Responsible for the development and implementation of the Treasury related policies and monitoring the compliance thereof.
- Provide input into the development of the investment strategies for Asset and Liability Management purposes.
- Responsible for the development and implementation, of quantitative models for market risk measurement
- Responsible for the long-term forecasting, stress testing and scenarios analysis of the cash flow (Liquidity) and the net interest income.
- Responsible for the valuation of financial instrument.
- Analysis and evaluation of financial structures, including risk management/hedging, investment and funding.

**Responsibilities**:
**Strategic alignment**
- Responsible for the development and implementation of the Treasury policy and monitoring the compliance thereof
- Participate in preparation of feedback reports for ALCO
- Performing hedge effectiveness tests and valuations on relevant derivative instruments on an ongoing basis as well as IFRS 7 and IFRS 9 reporting
- Provide input into the development of the investments and liquidity management strategies for Asset and Liability Management purposes

**Valuation of Financial Instruments**
- Responsible for the valuation of financial instruments.
- Responsible for the development of appropriate hedge effectiveness models and monitoring of hedge effectiveness.
- Responsible for Treasury related aspects of IFRS 7 and IFRS 9
- Manage and monitor the impact of changes in the general economy including inflation, GDP growth, interest rates, and foreign exchange rates
- Provide input into the determination of the profit and loss of company's Treasury department.

**Modelling, Forecasting and stress Testing**
- Responsible for the long-term cash flow forecasting and conduct back testing and stress testing for liquidity risk
- Responsible for the forecasting of net interest income (NII), interest rate sensitivity and EVE modelling
- Develop and implement a stress testing framework models to facilitate the assessment of the impact of macroeconomic stress scenarios on the capital position (for all quantifiable risks) and P& L of the Bank
- Assist in formulation and updating of the ICAAP and ILAAP for the Bank
- Responsible for the development of models to support quantification of Pillar 1 & 2 risks and enhanced stress testing
- Conduct behavioural studies on the distribution of assets and liabilities for bucketing purpose for preparation of statement of structural liquidity
- Assist with the Pillar 3 disclosure

**Compliance**
- Responsible for monitoring the compliance to the Treasury related policies.
- Provide input into regulatory reporting, Pillar 3 disclosure and Annual report
- Support annual review of the counterparties
- Responsible for monitoring the compliance to the prudential requirements

**Operations**
- Responsible for maintaining the static data on the Treasury Management system and ensuring alignment with the ERM system.
- Responsible for ensuring accuracy of market data and systems parameters used for instrument valuations
- Participating and delivering multiple initiatives being business projects, systems change implementations and new products development on behalf of Treasury**Inherent Requirements**

**Qualifications and Experience**:

- BSc (NQF 7) or B Com (Hons) degree (NQF 8) in Mathematical Statistics, Statistic or Econometrics or similar qualification
- CFA/FRM will be an added advantage
- At least 5 years’ of specialized balance sheet management within a banking industry
- Strong Treasury Operations background accounting
- Practical knowledge & understanding of financial instruments
- Experienced in numerical/statistical programming languages such as R, SAS or MatLab

**Skills**:

- In depth knowledge of industry best practices
- Deep understanding of Asset / Liability Portfolio management
- Understanding of Bank Capital adequacy models
- Practical knowledge of the IFRS 9 and In-depth Hedge Accounting experience
- Good understanding of Government related acts (PMFA, Basel, King III - VI, Banks Act etc)
- Deep understanding of quantitative analysis methodology and financial modelling techniques
- Knowledge of ICAAP

**Attributes**:

- Good business acumen, Strong analytical, quantitative and qualitative skills, Ability to think strategically, Ability to work under-pressure, Customer service driven, Resilient

**What Qualification**
- Mathematical Statistics, Statistic or Econometrics or similar qualificati

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