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Quantitative Specialist

Job Ref
270555
Job Type
Permanent
Employer Type
Recruitment Agency
Date Added 28 Oct 2016
Expiry Date 12 Dec 2016
* This is an Affirmative Action position.
* There have been no applications to this job.
* This job has been viewed 1618 times.
Employer:
SET Consulting

Location:
Gauteng (Pta)

Salary:
ZAR600000 - ZAR730000

Benefits:
CTC


Role details:
Quantitative, Specialist
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JOB TITLE
 
 
Quantitative Specialist
 
 
 
 
REPORT TO
 
 
General Manager: Finance Strategy and Planning
 
 
 
 
MAIN PURPOSE OF THE JOB
 
 
 
 
 
 
 
 
 
 
Lead the development of innovative and effective risk management methodologies, models and analytical solutions to support the company's treasury risk management activities and to provide accurate reports on business performance for decision making.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
KEY PERFORMANCE AREAS
 
 
 
 
 
 
Develops and Runs Impairment, Application and Behavioural, Capital Management, Funding and Interest rate risk Models

Pro-actively analyses industry trends and prompts to determine the influence of the company.
Receives and analyses a request for a model/information to determine applicability to the company.
Revisits and analyses existing models to determine the impact on the organisation.
Collects raw data from information sources in relation to the trend/request.
Categorises the impact of the information to determine the impact on the organisation.
Generates predictions utilising the available information.
Develops models in accordance with policies, procedures and legal requirements.

 
General modelling responsibilities

Mathematical analysis of financial markets, understanding how models relate to the markets.
Identifies and models financial exposures resulting from the ALM portfolio on corporate targets.
Identifies and models alternative risk mitigation strategies (e.g. financial hedging) and the associated risks, benefits and cost on corporate targets.
Identifies methods to assess and measure counterparty risks.
Identifies measures to evaluate credit downgrades and the impact on borrowing costs, collateral requirements and market liquidity.
Defines high standards for model calibration and applies advanced quantitative techniques in the development and calibration of risk models.
Serves as the data analyst for model governance, model development, and model deployment activities.
Develops, implements and manages holistic strategies for modeling (design, development, validation, calibration, documentation, approval, implementation, monitoring and reporting.
Conducts analytics to validate the performance of existing quantitative risk models, recommends changes, and supports gap closing projects.
Leads modeling data capture, gathering, mastering and maintenance in support of modelling databases.

 
Conducts Research

Initiates research into the pricing of financial instruments using quantitative skills.
Defines the objectives of the research in accordance with the requirements.
Determines the research methodology in accordance with the requirements.
Analyses the data to determine applicability and utilisation.
Interprets and evaluates the data by means of various analysis techniques and model development.
Conducts research in accordance with policies, procedures and legal requirements.

 
 
 
 
 
 
 
 
 
PREFERRED MINIMUM EDUCATION AND EXPERIENCE
 
 
 
 
 
 

B Degree in Applied Mathematics, and / or Statistics
BCom Hons with Statistics or Applied Mathematics an advantage and/ or Minimum 3 years as Quantitative Analyst in a credit granting environment and in financial markets

 
 
 
 

Experience in SAS Programming/ Statistical software and Credit Modelling is also a requirement

 
 
 
 
CRITICAL COMPETENCIES
 
 

Knowledge and understanding of the principles of finance and the components involved in finance
Knowledge of business environment
Knowledge and understanding of the principles of statistical modelling
Effective planning and time management skills
Interpersonal and communication skills
Reporting and sound business English skills
Presentation techniques
High level of attention to detail and deadline-driven
Research skill
Analytical & Problem Solving
Risk Management

 




 
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