Quantitative Credit Risk Modeller

1 week ago


Centurion, Gauteng, South Africa Network Recruitment Full time

Credit Risk Quantification Role

We are seeking a skilled Credit Risk Quantification Specialist to join our Quantitative Analytics and Liquidity Risk Management team. The successful candidate will contribute to developing sophisticated models and solutions that drive effective credit risk management, supporting the bank's credit portfolio across a diverse range of clients and sectors.

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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