Quantitative Analyst
Johannesburg, Gauteng, ZA
6d ago
source : Work-Force
  • Our Client in the banking sector is looking for passionate and ambitious Quantitative Analyst to maintain, monitor and refine the Economic Capital model, general credit risk analytics, including the reporting of analyses related to the BA200 return, Pillar 3 and ICAAP as well as continually developing analytics to aid the accuracy of reporting in line with Company strategic goals.
  • DESCRIPTION Role Quantitative Analyst : Credit Capital Operations, Analytics & Reporting Responsibilities

  • Maintain, monitor and refine Economic Capital and Credit Risk Forecasting models
  • Implementation of new regulatory requirements (Basel 3 reforms)
  • Alignment of credit economic and regulatory capital related provisioning, reconciliation and adjustment processes
  • Monthly production of high quality economic and regulatory capital reporting and the allocation thereof
  • Monthly analysis and assurance of portfolio movements
  • Coordinate internal and external audit of regulatory reporting related processes
  • Credit risk capital reporting in Pillar 3, ICAAP, Analyst Booklet
  • SARB Graph / Queries commentary and analysis
  • Assisting management with various ad-hoc tasks, reports, specific deep dives and analyses
  • Provide a consultative service to all stakeholders on the optimization of credit risk capital

  • Minimum qualification : Bachelor’s degree in Actuarial Science / Financial Mathematics / Mathematics / Statistics or similar with relevant experience
  • SAS programming or similar (Python / R / MATLAB) knowledge
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