GM Quantitative Analyst
FICC Quants UnitEnds 16 Oct 2018
Gauteng, South Africa
8d ago
  • About us, purpose, experience and qualifications
  • about us

    RMB is a market leader in Investment Banking and our biggest asset is our people. We believe there is no end to what we can achieve for our clients, our shareholders and ourselves if we have the right people.

    We seek the best smart, hard-working, self motivated, committed people with positive attitudes and passion for their work and the success of RMB.

    Our people come from many different backgrounds which adds richness to our talent pool. We offer a non-hierarchical, entrepreneurial environment where our people think and act like owners.

    We empower people, hold them accountable and reward exceptional performance. All suitable qualified candidates will be considered and appointments will be made in line with the Bank’s EE Strategy.


    To provide a quantitative service to Global Markets Trading and Structuring by valuing and providing a risk management service for exotic trades, performing ongoing research and development and developing quantitative solutions for a variety of Global Markets issues.

    experience and qualifications

    Post-graduate qualification in Mathematical Finance or another quantitative discipline 5+ year’s financial services, preferably banking experience Technical Pre-

    requisite o Sound knowledge of financial instruments with expert knowledge of the pricing principles underlying these o Strong financial modelling and coding skills o Proficient in Microsoft Office with advanced Excel and VBA o Knowledge of object orientated languages, e.

    g. C# and / or Java o Familiarity with MATLAB and / or Python (advantageous) Competences : Analysis and Attention to Detail Problem Solving Building Relationships Decisiveness and Action Orientation Verbal and Written Communication

  • Additional information and responsibilities
  • additional requirements

    There are no additional requirements associated with this vacancy.


    Analyse and research specific products. Initiate and implement mathematical modelling of the trade in line with given requirements.

    Provide Traders and Structurers with functionality so that they can use the model (depending on urgency, liaise directly with Traders).

    If prices differ vastly, provide ongoing checking for relevance and alignment. Support any trade or business approved by the DCF.

    Model the pricing and run standard and VAR stresses on the model and its output prices. Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems.

    Provide a library of functions to Global Markets’ Structurers, Traders and FirstRand Group Treasury to enable them to : o access source data needed to determine a price for a given point in time and o provide functionality that allows them to value and produce risk sensitivities for various instruments in their chosen asset classes Perform ongoing research and development into : o Pricing of exotic trades and hybrid derivatives o Dual curve construction for collateralisation o Index construction o Efficient numerical methods On a project-

    by-project basis, engage with whoever has requested the model and maintain continuous engagement throughout the process. Formally engage with Risk and Compliance to validate the model and provide a document detailing the finalised model and its underlying methodologies, strengths and weaknesses.

    Engage with the DCF on an ad hoc basis to provide them with comfort around the model, propose market norms and identify down-

    the-line issues. Build professional working relationships with all stakeholders, displaying abilities to communicate at all levels.

    Find opportunities to leverage relationships and share knowledge. Self-management : o Demonstrates pride in the organisation’s brand, services and products by consistently delivering on the brands promise o Drive best-

    in-class solutions and practices o Follow through to ensure that personal quality and productivity standards are consistently and accurately maintained o Stay relevant and up-

    to-date with legislations and new development o Maintain a positive attitude and respond openly to feedback o Handle stress in ways that do not negatively impact others o Plan and manage own workflow, anticipating obstacles, juggling priorities and following through on objectives within agreed time-

    frames and according to quality standards o Take ownership of personal career development, leveraging formal and informal opportunities o Accurately reads situations and organisational realities o Able to set aside personal agenda for the greater good o Act in an ethical, transparent and morally defensible manner, including highlighting unethical practices.

    Teamwork : o Continually share, debate and communicate learning’s o Flag and debate issues constructively o Promote a friendly, co-

    operative climate, understand group dynamics and apply appropriate facilitation techniques in working with others to achieve collective goals o Skilled at mentoring / coaching others and resolving conflict

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