Quantitative Credit Risk Specialist

3 weeks ago


Centurion, Gauteng, South Africa Network Recruitment Full time

Key Responsibilities:

  • Develop and implement credit risk models to measure Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) across various portfolios.
  • Design quantitative tools for stress testing and scenario analysis on the credit portfolio, ensuring accurate risk assessment.
  • Lead efforts in automation of credit risk measurement and reporting processes using programming tools like Python, SQL, and Visual Basic.
  • Perform credit risk analysis on large, complex transactions, providing insights into risk exposure and mitigation strategies.
  • Engage with internal stakeholders to develop and maintain risk policies, ensuring compliance with regulatory standards and internal governance.
  • Monitor credit risk metrics, identify potential portfolio risks, and escalate issues to senior management when necessary.
  • Validate and review the performance of existing credit risk models, ensuring they comply with best practices and regulatory guidelines.

Requirements:

  • PhD, Masters, or Honours Degree in a quantitative discipline (Finance, Mathematics, Statistics, etc.).
  • 5+ years of experience in credit risk modeling and quantitative finance.
  • Proficiency in financial mathematics, credit risk analysis, and programming (Python, SQL, Visual Basic).
  • Strong understanding of credit portfolio management, credit risk metrics, and regulatory frameworks (e.g., Basel III).


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