Risk Analytics Professional

3 weeks ago


Johannesburg, Gauteng, South Africa Network Recruitment Full time
Job Overview

This exciting opportunity for a Risk Analytics Professional is based in Cape Town and offers a chance to drive the validation of cutting-edge financial models in a fast-paced, dynamic environment.

About the Position:

  • Validate and assess the performance of credit risk models, ensuring they align with industry standards and regulatory requirements.
  • Collaborate with model developers to enhance model robustness and real-world applicability.
  • Conduct rigorous stress testing, sensitivity analysis, and model back-testing to ensure reliability and accuracy.
  • Ensure compliance with regulatory frameworks related to credit risk and capital management.
  • Prepare detailed reports and present findings to senior management, highlighting areas for improvement and actionable insights.

We estimate the salary for this position to be around R1,200,000 - R1,800,000 per annum, depending on experience.

Qualifications:

  • A Degree in Mathematics, Statistics, Actuarial Science, Engineering, or a related field.
  • 35 years of hands-on experience in credit risk modeling, validation, or related quantitative roles.
  • Strong proficiency in Python, R, or SAS for model evaluation and data analysis.
  • In-depth knowledge of credit risk frameworks, including Basel, IFRS 9, and BCBS239.
  • Strong understanding of credit risk modeling techniques, such as PD, LGD, EAD, and credit scoring.


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