Risk Analytics Professional
3 weeks ago
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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