Senior Quantitative Analyst – Credit Risk Modelling

2 weeks ago

Sandton, Gauteng, South Africa Truffle Full time R600 000 - R1 200 000 per year

Introduction:

Join a leading financial institution renowned for innovation and excellence in quantitative risk management. This is an exciting opportunity for an experienced quantitative professional to contribute to the development of world-class Internal Ratings-Based (IRB) models that drive capital adequacy and regulatory compliance. You'll play a key role in shaping best-in-class credit risk models and ensuring robust risk quantification across the organisation.

Role Responsibilities:

  • Lead the design, development, and enhancement of IRB models, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and credit portfolio models.
  • Manage end-to-end modelling projects, ensuring quality, accuracy, and compliance with regulatory standards.
  • Collaborate with validation, risk, finance, and business teams to ensure models are effectively integrated and operationally sound.
  • Partner with data and technology teams to optimise model implementation, data integrity, and system integration.
  • Mentor and provide modelling guidance to junior team members, fostering a culture of technical excellence and collaboration.
  • Stay abreast of evolving regulatory requirements, industry trends, and emerging methodologies in credit risk and quantitative modelling.

Experience Requirements:

  • Degree in a highly quantitative discipline such as Mathematics, Statistics, Economics, or Engineering (postgraduate qualification advantageous).
  • 8+ years of experience in quantitative analysis or model development, ideally within credit risk or a related field.
  • Strong statistical and analytical expertise, with proficiency in programming languages such as SAS, Python, R, or MATLAB.
  • Solid understanding of Basel II and III frameworks, with knowledge of their application in a South African context.
  • Demonstrated leadership in project delivery and the ability to mentor and upskill others.
  • Excellent communication, problem-solving, and stakeholder engagement skills.

Education Requirements:

  • Bachelor's degree in a quantitative discipline (Mathematics, Statistics, Economics, Engineering).
  • Postgraduate qualification (Honours, Master's, or PhD) preferred.

About Truffle:

At Truffle, we specialize in connecting top actuarial and analytics professionals with exciting career opportunities. Join our network to access roles tailored to your expertise and ambitions — helping you grow your career while contributing to impactful work across the analytics and risk landscape.

Disclaimer:

By submitting your application, you consent to Truffle processing your personal information in line with the Protection of Personal Information Act (POPI). If you have not received a response within two weeks, please consider your application unsuccessful.

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