Lead Quantitative Risk Strategist

1 month ago


Johannesburg, Gauteng, South Africa Network Recruitment Full time
Quantitative Analyst

About the Role:

We are seeking an experienced Quantitative Analyst to join our team at Network Recruitment. As a key member of our credit risk management function, you will be responsible for developing and maintaining credit risk models to deliver a holistic view of credit risk exposures.

Key Responsibilities:

  • Credit Risk Modeling: Develop and implement tools like economic capital and earnings at risk models to lead the implementation of a comprehensive credit risk strategy.
  • Model Maintenance & Validation: Ensure accuracy and compliance by maintaining, updating, and validating credit risk models in line with annual requirements.
  • Risk Exposure Analysis: Deliver monthly and quarterly insights into portfolio changes and aggregate risk exposures across all business units.
  • Risk Appetite & Strategy: Collaborate with the Head of Credit to set and cascade credit risk limits, ensuring strategic alignment with business objectives.
  • Portfolio Optimization: Partner with business units to refine portfolios, leveraging credit tools to enhance alignment with risk strategies.
  • Model Enhancement: Support business units by refining models for probability of default (PD), loss given default (LGD), and other critical metrics.
  • Stakeholder Collaboration: Build strong relationships with credit quants, boosting their capabilities and model performance.
  • Governance: Play a key role in the technical credit risk model approval process, ensuring compliance with group-wide standards.

About You:

To be successful in this role, you will need:

  • A minimum honours degree in finance, financial engineering, quantitative analytics, actuarial science, or a related field (postgraduate qualification is an advantage).
  • 5+ years of banking experience with hands-on expertise in developing and maintaining credit risk models (PD, LGD, etc.) for retail and investment portfolios.
  • Moodys Risk Frontier experience is essential for aggregating and analyzing credit exposures across portfolios.
  • Expertise in Economic Capital Modeling and tools for aggregating credit risk exposures across multiple dimensions.
  • Strong technical analysis, problem-solving, critical thinking, and data analytics skills.

Salary: The salary for this position is estimated to be around $120,000 - $150,000 per annum, depending on experience.

Location: This role is based in [location], however remote work arrangements can be discussed.



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