Senior Quantitative Manager

3 days ago

Sandton, South Africa IDC Full time

To own the development, management, as well as the maintenance of best practice Rating, Pricing and Valuation models in line with regulations.
- To own the development, management, as well as the maintenance of best practice Expected Credit Loss / Impairment models in line with International Standards.

**Qualification and Experience**

**QUALIFICATIONS**:

- Post-graduate qualifications in a Quantitative discipline such as Mathematics, Statistics, Econometrics (Masters and/or Hons degree).
- Professional certifications such as CFA, FRM, PRMIA-PRM, or equivalent are highly advantageous.

**KNOWLEDGE AND EXPERIENCE**:

- 8 - 10 years’ work experience in risk modelling or a similar role in a Financial Institution.
- Knowledge and understanding of portfolio credit risk management.
- Knowledge of Model building and interpretation to minimise risk and/or maximise development returns/revenue.
- Exceptional leadership capabilities, with a proven track record of playing a leadership role in high-performing teams.
- Strong stakeholder management skills, with the ability to influence and collaborate across all levels of the organisation.
- Excellent communication and presentation skills, capable of translating complex risk findings into actionable insights.
- Ability to anticipate and manage emerging risks in a dynamic financial landscape.
- Integrity and ethical decision-making.

**Roles and Responsibilities**
- Developing a range of quantitative Rating and Pricing models including, among others, Probability of Default (PD), Loss Given Default (LGD) and Exposure to Default (EAD).
- Development of differentiated, superior solutions (solutions engineering) that meet stakeholder and business requirements.
- Lead in the Validation of the performance of existing quantitative risk models and recommend changes.
- Service and interact with internal and external stakeholders.
- Participate in and influence Portfolio Reporting from a Quantitative perspective.
- Provide training to end users on both model usage and comprehensive understanding
- Management and maintenance of the IFRS 9 ECL model.
- Participate in preparing specifications, preparing for and executing testing, implementation, and documentation, data validation of models.
- Develop an understanding of data and make recommendations to resolve data integrity issues.
- Research into best practices regarding the development, maintenance, and use of statistical and behavioral scorecards.
- Use understanding of regulatory framework (incl. Capital framework / Basel III/IV) to inform business strategy and decisions (capital allocation);
- Monthly / Quarterly portfolio reporting to appropriate Executive Committees and Board Sub-Committees.

**Job Requirements** TECHNICAL/FUNCTIONAL COMPETENCIES**
- Problem Solving
- Business Acumen
- Ability to translate complex data outputs into clear and understandable insights for use by business users
- Report writing Skills
- Strong attention to detail and data validity
- Project Management Skills
- Ability to quickly understand changing market trends and incorporate information into model inputs
- Appropriate inclusion of data within the model.
- Strong Analytical Skills
- Planning and Organizing

**BEHAVIOURAL COMPETENCIES**
- Good Communication Skills
- Self-motivated and self-driven skills
- Coping with Pressures and Setbacks
- Negotiating and influencing
- Interpersonal Skills

Job Reference: IDC00482

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