Quantitative Credit Risk Specialist

2 weeks ago

Cape Town, Western Cape, South Africa Network Recruitment Full time
Lead Credit Risk Solutions

We are seeking a highly skilled Quantitative Credit Analyst to lead the development and maintenance of critical tools and infrastructure that aggregate credit risk exposures across the Group. From economic capital modeling to earnings at risk, you will play a pivotal role in setting the risk appetite and optimizing credit models for the entire organization.

Key Responsibilities:
  • Credit Risk Aggregation: Implement tools like economic capital and earnings at risk models to offer a comprehensive view of the clients credit risk exposures.
  • Model Maintenance & Validation: Maintain, update, and validate technical credit risk models, ensuring accuracy and compliance with annual validation requirements.
  • Risk Exposure Analysis: Calculate monthly/quarterly aggregated credit risk exposures, providing detailed insights into portfolio changes across business units.
  • Risk Appetite & Strategy: Collaborate with the Head of Credit to set and cascade risk appetite, credit risk limits, and budgets for various business units.
  • Portfolio Optimization: Work with business units to adjust portfolios based on risk strategy and credit tool outputs, ensuring alignment with the clients overall goals.
  • Model Enhancement: Support and guide credit business units to refine models for probability of default (PD), loss given default (LGD), and other key metrics.
  • Stakeholder Collaboration: Build strong relationships with credit quants, enhancing their capabilities and improving model performance.
  • Governance: Serve on the technical credit risk model approval committee, ensuring all credit models meet group-wide standards.
Experience & Qualifications:
  • Minimum Honors Degree: in Finance, Financial Engineering, Quantitative Analytics, Actuarial Science, or a related field. A postgraduate qualification will be an advantage.
  • 5+ Years of Banking Experience: with hands-on expertise in developing and maintaining credit risk models (PD, LGD, and others) for retail and investment credit.
  • Expertise in Economic Capital Modeling: and tools for aggregating credit exposures across multiple risk dimensions.
  • Strong skills in technical analysis, problem-solving, critical thinking, programming, and data analytics.

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