QUANTITATIVE ANALYST – STRESS TESTING – SANDTON – R800k

Big 4 Major Retail Bank is looking for a Senior Quantitative Analyst who is a statistical and mathematical genius, to retrieve and manipulate data in order to build quantitative solutions and models within a specified framework, process and procedure, under guidance.

REQUIREMENTS:
• Honours Degree in Mathematics/Statistics/Economics/Finance
• 3 – 5 Years’ experience in quantitative modelling (stress testing, Basel Modelling, IFRS9 Modelling, pricing)
• 5+ years’ experience as a Quantitative Analyst
Technical Skills to Include:
• SAS advanced user
• Statistical & Financial modelling skills
• C#
• MATLAB
• SQL
• Communication and reporting skills (verbal and written)
• Excellent writing and presentation skills

JOB DESCRIPTION:
• Gain understanding of current loss forecasting framework (calculation engine as well as user interface).
• Gain an understanding and stay abreast of the various IFRS 9 modelling methodologies across retail and wholesale products.
• Development aspects of the loss forecasting and stress testing framework and keep the framework up to date as the methodology evolves.
• Contribute to the development of methodological aspects of loss forecasting and bottom-up credit risk stress and scenario testing.
• Conduct ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios.
• Conduct independent credit risk stress testing related research and use it as input into proposals and strategies.
• Engage with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from loss forecasting work stream.
• Keep methodology and other documentation up to date as models evolve
• Support input into the businesses Group’s strategic planning process and assist with recommendations on credit strategy through insightful analysis.
• Stay abreast of regulatory guidance and international best practise as it relates to credit risk stress testing (impairments as well as capital).
• Support enhancement of internal credit risk reporting capabilities.

Reference Number for this position is TM41982 which is a permanent position based in Sandton offering a salary up to R800k per annum cost to company negotiable on experience and will be decided in accordance with your current remuneration.

e-Merge IT recruitment is specialist niche recruiters with a wide range of positions available. We offer researched positions with top companies to strong technical skilled candidates.
Email Tebogo on tebogom@e-merge.co.za or give him a call on 011 463 3633 to discuss this and other opportunities.

“If you haven’t heard from e-Merge IT within 2 weeks of your application, please consider it unsuccessful for this position”