Credit Risk (Quantitative) - Investments
Candidate Connect
Cape Town, South Africa, Western Cape, ZA
4d ago

Top quality Investment team is looking to fill a ey Quantitative Credit Risk Analyst role. Cape Town based.

The role plays a strategic role in the business, with focus on a credit cap modelling and analysis, process oversight and the development of scoring and valuation methodologies.

The team is also responsible for calculating the capital requirements for all the other risk types in the company’s proprietary portfolio and to combine this as a total diversified capital requirement.

Broadly, some key areas include :

  • Model development and enhancement
  • Deal analysis and Risk Adjusted Performance Measurement
  • Reporting and Results Production
  • This role requires the following :

  • M.Sc. or B.Sc.(Hons) majoring in a quantitative field such as Risk Management, Mathematics, Statistics or a related discipline;
  • 5+ years’ experience with a Financial Institution servicing Institutional clients;
  • Experience with economic and regulatory capital (Basel, SAM) calculations;
  • Knowledge of credit risk measurement methodologies for wholesale credit, including Large Corporates, Specialized Lending including Project Finance and Share Cover transactions, Financial Institutions and SOEs.
  • Suits a smart, experienced professional, motivated with high energy levels and the ability to show initiative and think creatively.

    And technically, someone with a strong understanding and appreciation of statistical concepts / distributions / limitations of statistical models

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