Quantitative Analyst

1 week ago

Johannesburg, South Africa OutsideCapital Full time

IntroductionOur client is a premium financial services institution with offices in both Johannesburg and Cape Town. They are looking for a Quants Analyst to join their Balance Sheet Management Team; to take primary responsibility for identifying, measuring and mitigating market and liquidity risk for the insurance business.
- Duties & Responsibilities- Take an ownership role in the team’s Monte Carlo infrastructure and understand the process flow and model dynamics. Improve the analytics architecture to support the centralised risk transition
- Develop and refine modelling for embedded derivative products in SA and Rest-of-Africa. Liaise with actuarial modelling teams and in-country business units
- Review and extend hedging programmes for new and existing products. Ensure effectiveness of risk management strategies is reported clearly and concisely to Group level
- Use market knowledge and financial modelling experience to improve hedging models by advanced curve construction and improvements to volatility marking processes
- Work with trading teams and actuarial specialists to develop innovative risk management solutions and develop new products
- Support Group regulatory compliance and preparations for regulatory changes such as IFRS17
- Desired Experience & QualificationEssential requirements include:

- Master of Science (MSc): Quantitative Sciences
- Solid knowledge of derivatives, Financial Modeling, Hedging, Liquidity Risk, Market Knowledge, Quantitative Analytics, Risk Management, Risk Management Solutions, Risk Management Strategies, Volatility
- At least 5 years previous relevant experience
- Package & Remuneration- R800 - R950 k CTC per annum

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