Strategic Credit Risk Management Expert
4 hours ago
We are seeking a highly skilled Quantitative Credit Analyst to lead the development and maintenance of critical tools and infrastructure that aggregates credit risk exposure across the Group.
Key Responsibilities:- Credit Risk Aggregation: Implement tools like economic capital and earnings at risk models to offer a comprehensive view of the clients credit risk exposures.
- Model Maintenance & Validation: Maintain, update, and validate technical credit risk models, ensuring accuracy and compliance with annual validation requirements.
- Risk Exposure Analysis: Calculate monthly/quarterly aggregated credit risk exposures, providing detailed insights into portfolio changes across business units.
- Risk Appetite & Strategy: Collaborate with the Head of Credit to set and cascade risk appetite, credit risk limits, and budgets for various business units.
- Portfolio Optimization: Work with business units to adjust portfolios based on risk strategy and credit tool outputs, ensuring alignment with the clients overall goals.
- Model Enhancement: Support and guide credit business units to refine models for probability of default (PD), loss given default (LGD), and other key metrics.
- Stakeholder Collaboration: Build strong relationships with credit quants, enhancing their capabilities and improving model performance.
- Governance: Serve on the technical credit risk model approval committee, ensuring all credit models meet group-wide standards.
- Experience & Qualifications: Minimum Honours Degree in Finance, Financial Engineering, Quantitative Analytics, Actuarial Science, or a related field. A postgraduate qualification will be an advantage.
- 5+ years of Banking experience: Hands-on expertise in developing and maintaining credit risk models (PD, LGD, and others) for retail and investment credit.
- Economic Capital Modelling: Expertise in economic capital modeling and tools for aggregating credit exposures across multiple risk dimensions.
- Technical Skills: Strong skills in technical analysis, problem-solving, critical thinking, programming, and data analytics.
With an estimated salary range of R1 200 000 - R1 800 000 per annum, we invite applicants to take the next step in their career and apply now.
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