Quantitative Risk Modeler

2 weeks ago

Cape Town, Western Cape, South Africa Network Recruitment Full time
Key Responsibilities:

We are seeking a talented Quantitative Analyst to join our innovative team, where your expertise in PD, LGD, and EAD model development will shape critical risk strategies.

Key Responsibilities:
  • Develop and maintain robust Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.
  • Lead the entire model development lifecycle, from data collection to implementation and monitoring.
  • Validate, back-test, and ensure models meet regulatory standards.
  • Utilize Moody's Risk tools to implement and evaluate model performance.
  • Collaborate with stakeholders to ensure models align with business objectives and risk management strategies.
  • Provide senior management with actionable insights based on model outputs.
  • Monitor and refine models regularly to ensure optimal performance and accuracy.
  • Adhere to industry best practices in credit risk modelling.
Qualifications:

We are looking for a candidate with:

  • BSc in Mathematics, Actuarial Science, or Statistics (Honours preferred).
  • 3-5 years of experience in credit risk model development.
  • Proficiency in Python, R, and SQL.
  • Experience with Moody's Risk tools is essential.
  • Proven track record in developing PD, LGD, and EAD models.
  • Strong analytical skills, with an eye for detail.
  • Ability to work independently and thrive in cross-functional team environments.

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