Quantitative Manager: Risk Price Modelling

2 weeks ago

Sandton, South Africa International Development Corporation (IDC) Full time

**A permanent position exists at our Head office in Sandton for a Quantitative Manager: Risk Price Modelling within the Credit Risk Department reporting to the Head: Credit Risk**

**JOB PURPOSE**

To focus on the development, management as well as maintenance of rating, pricing and valuation models in line with best practice.

**MAIN DUTIES AND RESPONSIBILITIES**
- Developing a range of quantitative rating and pricing models including amongst others Probability of Default, Loss Given Default and Exposure to Default models.
- Assist with the development of differentiated, superior solutions (solution engineering) that meet stakeholder and business requirements;
- Validate the performance of existing quantitative risk models and recommend changes
- Service and interact with internal stakeholders;
- Assess and provide data for portfolio management;
- Development, validation and maintenance of different Application Scorecard;
- Maintenance of rating tools;
- Training of end users;
- Develop an understanding of data and make recommendations to resolve data integrity issue;
- Research regarding the development, maintenance and use of statistical and behavioural scorecards;
- Use understanding of regulatory framework (incl. capital framework /Basel II) to inform business strategy and decisions (capital allocation);
- Monthly / Quarterly portfolio reporting to Executive Committees and Board Sub-Committees;
- Maintenance of the IFRS9 ECL model; and
- Solve business problems using quantitative analytics, software engineering, statistics, economic analysis, finance, and accounting disciplines.

Job Requirements

**QUALIFICATIONS**
- Tertiary qualifications in a Quantitative discipline such as Maths, Statistics, Econometrics etc (Masters and/or Hons degree will be an added advantage).

**KNOWLEDGE AND EXPERIENCE**
- 3 - 5 years’ work experience within risk modelling or a similar role in a Financial Institution.
- Knowledge and understanding of portfolio credit risk management.
- Knowledge of Model building and interpretation to minimise risk and / or maximise development returns / revenue.

**TECHNICAL/FUNCTIONAL COMPETENCIES**
Problem Solving
Business Acumen
Ability to translate complex data outputs into clear and understandable insights for use by business users
Report writing Skills
strong attention to detail and data validity
Project Management Skills
Ability to quickly understand changing market trends and incorporate information into model inputs.
Appropriate inclusion of data within the model.
Strong Analytical Skills
Planning and Organizing

**BEHAVIOURAL COMPETENCIES**
Good Communication Skills
Self-motivated and self-driven skills
Coping with Pressures and Setbacks
Negotiating and influencing
Interpersonal Skills

**Requirement: As our entity (IDC) Provides financing & funding, the need to ensure trust, honesty and integrity in all financial & non-financial activities must be above reproach.

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