Funding and Liquidity Quantitative Risk Analyst

2 weeks ago

Johannesburg, South Africa FirstRand Full time

About us, purpose, experience and qualifications

**about us**:
**purpose**:
**experience and qualifications**:

- Minimum tertiaryqualification in Advanced Mathematics/ Statistics/ Engineering/ Physics/Actuarial etc;
- RelevantPostgraduate Degree advantageous; and
- 4+ years’financial services experience with exposure to derivative structuring, quantitativemodelling, structuring, securitisation/ structured finance, credit and marketrisk management and funding and/ or liquidity management.
- **additional requirements**:
There are no additional requirements associated with this vacancy.

**responsibilities**:

- Understand, model and measure the effect of prepayment on risk, capital and funding.
- Pricing of more complex trades within the funding framework.
- Management of transfer pricing for funding, collateral, capital and credit risks on GTSY portfolios ensuring: o Efficient selection of derivative opportunities o Achievement of strategic objectives o Financial contribution towards significant deals
- Understand the different capital and regulatory treatments. In particular, securitisations, stat costs, LCR, Leverage Ratio and NSFR.
- Develop and implement models within an overall framework to forecast the balance sheet for various parts of the Group to assist in strategic decision-making, with a focus on funding and liquidity transactions.
- Knowledge of financial markets and their impact on profitability.
- Understanding of group’s liquidity and funding strategies from an alignment perspectives.
- Understanding of group’s funding curves, construction thereof, redevelopment and dissemination.
- Help with strategies to effectively hedge these costs and distribute the risk consistently.
- Measure and track the behaviour of risk that cannot be hedged.
- Assist with the ongoing reporting requirements and system implementation for existing and new structured finance transactions
- Assist with the day-to-day monitoring and management of group and external client transactions

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