Quantitative Credit Analyst

2 weeks ago

Cape Town, South Africa Old Mutual Full time

Description

Old Mutual is a premium African financial services organisation that offers a broad spectrum of financial solutions to retail and corporate customers across key market segments. We are rooted in our purpose of Championing Mutually Positive Futures Every Day and believe that a great customer
experience is anchored in a great employee experience.

Role Overview:

The Investment Strategy team is an integral part of the Group Balance Sheet Management function. The team is responsible for the investment strategy of shareholder assets in South Africa with oversight role across Rest of Africa and OM Insure. The credit function within the Investment Strategy team is responsible for cR110bn of assets spanning wholesale credit, various businesses, investment portfolios, unsecured lending and securitizations as well as SME lending. This is a dynamic team, with a strong focus on technical fluency and execution focused.

The quantitative credit analyst will report to the OML Head of Credit, within the Group Balance Sheet Management team. The incumbent needs to develop and maintain the tools and infrastructure used by the Group to aggregate credit risk exposures across the Group, including economic capital and earnings at risk models. Using these tools - assist the OML Head of Credit to set the risk appetite and risk budget for the various credit business units in the group. Assist the various credit business units to enhance existing credit models used to assess the PD, LGD and other credit metrics. 

Assist the OML Head of Credit to identify and quantify the impact of various portfolio tilts, and work with the various credit business units to implement these tilts within the set risk appetite. Communicate the changes in the OML credit risk profile over reporting periods to senior management which will require the ability to simplify a large amount of data and technical aspects and to pitch this to executives within in the Group.

Key Result Areas:

Implement the various credit risk aggregation tools, such as economic capital and earnings at risk to allow an aggregated view of the OML credit exposures.

Maintain and update the technical credit risk models underlying the above tool. This expands to the model documentation and the annual validation process.

Calculate the aggregated credit risk exposure across the group on a monthly/quarterly basis, ensuring the accuracy of the various data feeds and being able to explain the changes in the credit risk profile over the period. Work with the various credit business units to understand changes within their portfolios.

Enhance the tools available to allow for inclusion of new credit business units and products.

Assist the OML Head of Credit to set the risk appetite and supporting credit risk limits and targets for the various credit business units in OML.

Cascade the set risk budget to each of the credit risk business units by tailoring the risk budget to the tools and measurements used within the various credit business units.

Assist the OML Head of Credit to identify and implement various portfolio tilts using the credit tools and stated credit risk strategy.

Develop strong relationships with the credit quants in the various credit business units to ensure a good understanding of the maturity of the credit quants capability and where required assist these business units to enhance and improve existing models.

Form part of the technical credit risk model approval committee that approves all credit risk models across the group.

Requirements: Skills, Qualifications and Experience required:

At a minimum, an honors degree in mathematics, finance, financial engineering, quantitative analytics, actuarial. A postgraduate or second qualification in the related field will be advantageous. ​

At least 5 years’+ experience in a banking environment with detailed hands-on experience in developing and maintaining the various credit risk models (PD, LGD and other credit models), across both retail and investment credit. Experience with economic capital modelling and other tools to aggregate credit exposures across risk dimensions will be advantageous.

Technical (mathematical, statistical, financial, accounting, programming, data), analytical, critical thinking, conceptual thinking, problem solving, people, and communication skills.

Self-awareness, strong work ethics, passion for technical problem solving, detail oriented, confidence, assertiveness, ability to work independently and as part of the team, high stress tolerance, patience, perseverance, ability to treat others with respect.

The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question.

Skills

Derivatives, Finance, Financial Modeling, Hedging, Investment Portfolios, Liquidity Risk, Market Knowledge, Quantitative Analytics, Risk Management, Risk Management Solutions, Risk Management Strategies, Volatility Analysis

Education

Honours Degree (Hons): Finance (Required)

Closing Date

04 May 2024

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