Quantitative Credit Risk Specialist

2 weeks ago


Johannesburg, Gauteng, South Africa Network Recruitment Full time
Key Responsibilities

As a Quantitative Credit Analyst, you will lead the implementation of tools like economic capital and earnings at risk models to deliver a holistic view of credit risk exposures. You will also be responsible for ensuring accuracy and compliance by maintaining, updating, and validating credit risk models in line with annual requirements.

Risk Exposure Analysis

You will deliver monthly and quarterly insights into portfolio changes and aggregate risk exposures across all business units. This will involve collaborating with the Head of Credit to set and cascade credit risk limits, ensuring strategic alignment with business objectives.

Portfolio Optimization

You will partner with business units to refine portfolios, leveraging credit tools to enhance alignment with risk strategies. This will involve supporting business units by refining models for probability of default (PD), loss given default (LGD), and other critical metrics.

Model Enhancement

You will build strong relationships with credit quants, boosting their capabilities and model performance. You will also play a key role in the technical credit risk model approval process, ensuring compliance with group-wide standards.

Experience & Qualifications

We are looking for a candidate with a minimum Honors Degree in Finance, Financial Engineering, Quantitative Analytics, Actuarial Science, or a related field. A postgraduate qualification is an advantage. You should have 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. You should also have 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 are essential for this role. If you are a driven and innovative credit risk professional, we encourage you to apply today.



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