(15h Left) Quantitative Analyst

2 days ago


Johannesburg, South Africa Jobted ZA C2 Full time

Key Responsibilities:

- Credit Risk Aggregation: Lead the implementation of tools like economic capital and earnings at risk models to deliver a holistic view of credit risk exposures.
- Model Maintenance & Validation: Ensure accuracy and compliance by maintaining, updating, and validating credit risk models in line with annual requirements.
- Risk Exposure Analysis: Deliver monthly and quarterly insights into portfolio changes and aggregate risk exposures across all business units.
- Risk Appetite & Strategy: Collaborate with the Head of Credit to set and cascade credit risk limits, ensuring strategic alignment with business objectives.
- Portfolio Optimization: Partner with business units to refine portfolios, leveraging credit tools to enhance alignment with risk strategies.
- Model Enhancement: Support business units by refining models for probability of default (PD), loss given default (LGD), and other critical metrics.
- Stakeholder Collaboration: Build strong relationships with credit quants, boosting their capabilities and model performance.
- Governance: Play a key role in the technical credit risk model approval process, ensuring compliance with group-wide standards.

Experience & Qualifications:

- Minimum Honours Degree in Finance, Financial Engineering, Quantitative Analytics, Actuarial Science, or a related field (postgraduate qualification is an advantage).
- 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.
- 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.

Take the lead in driving innovative credit risk solutions and apply today



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