Analyst and Quantitative Risk Modelling and Validation

Datacentrix; City of Johannesburg Metropolitan Municipality; On-site; ZAR 600 000 - 800 000; Full time

Job summary

A leading financial services provider is seeking a qualified Analyst in Quantitative Risk Modelling & Validation. This role requires a Bachelor's Degree in a relevant field and 4-6 years of experience in financial risk management or treasury. The analyst will develop and validate quantitative risk models, analyze financial data for accuracy, and ensure compliance with regulatory standards. Strong proficiency in statistical software and programming languages like R and Python is essential for this position. The role offers opportunities for ongoing professional development and collaboration with cross-functional teams.

Qualifications

• 4-6 years of experience in Asset and Liability Management, Financial Risk Management, or Treasury.
• Experience with quantitative modelling and validation in a financial services environment.
• Familiarity with best practice frameworks related to market risk and FTP methodologies.

Responsibilities

• Develop quantitative risk models for market risk measurement.
• Validate quantitative models ensuring accuracy and compliance.
• Analyze financial data to support modelling and FTP calculations.
• Conduct statistical analyses on financial data trends.
• Collaborate to enhance risk models and FTP methodologies.

Skills

Statistical software proficiency

Programming languages (R, Python)

Financial markets understanding

Data analysis

Quantitative modelling

Education

Bachelor’s Degree in Actuarial Science, Mathematics, Statistics, Finance, Econometrics, or related field

Job description

Our client is looking for a qualified Analyst: Quantitative Risk Modelling & Validation who holds a Bachelor’s Degree Actuarial Science, Mathematics, Statistics, Finance, Econometrics, Quantitative Risk or a related field. Must have at least 4-6 years of experience in Asset and Liability Management, Financial Risk Management or Treasury.

Qualifications and Experience Required:

• Matric plus Bachelor’s Degree Actuarial Science, Mathematics, Statistics, Finance, Econometrics, Quantitative Risk or a related field.
• 4-6 years of experience in ALM, Financial Risk Management or Treasury
• Proficiency in statistical software and programming languages (e.g., R, Python, or similar).
• Understanding of financial markets, instruments, risk management concepts, and Funds Transfer Pricing mechanisms.
• Good understanding of Asset and Liability Management, gained through hands-on experience or Asset and Liability Management training attendance
• Experience with quantitative modelling and validation in a financial services environment.
• Familiarity with best practice frameworks related to market risk and FTP methodologies.
• Knowledge of data analysis tools and techniques.

Responsibilities:

• Assist in the development of quantitative risk models used for market risk measurement, including Value at Risk (VaR), stress testing, scenario analysis, and FTP models.
• Participate in the validation process of quantitative models, ensuring accuracy, reliability, and compliance with regulatory requirements.
• Collect, clean, and analyse financial data from various sources to support modelling activities and FTP calculations.
• Conduct statistical analyses to identify trends, patterns, and anomalies in financial data, particularly focusing on interest rate risk and funding costs.
• Collaborate with senior managers to implement and enhance risk models and FTP methodologies, ensuring they are robust and aligned with industry standards.
• Support in analysis to support decision making on Equity Price risk management.
• Perform the calculation of the monthly Share Price forecasting for use in the strategic balance sheet modelling process.
• Support the calculation and implementation of FTP rates to accurately reflect the cost of funds and the credit risk associated with various business units.
• Assist in analysing the impact of FTP on overall profitability and performance metrics, providing insights to enhance decision-making.
• Conduct back testing of models to assess predictive performance and recalibrate models as necessary, including FTP models.
• Prepare detailed reports and presentations summarising quantitative analyses, model outcomes, FTP rates, and associated risks for ALCO Technical, ALCO and other stakeholders.
• Assist with ALCO process coordination.
• Participate in ALCO meetings including preparing and presenting ad-hoc reports as needed for the committee.
• Assist the Share Price Forecasting sub-committee with coordination and minute taking, if required.
• Preparation of monthly and quarterly risk reports and presentations for ALCO Technical and/or ALCO.
• Assist in communicating complex quantitative concepts, including FTP implications, to nontechnical audiences.
• Work closely with cross-functional teams, including strategic business units, finance, risk management, and treasury, to ensure effective model implementation, FTP integration, and overall risk management practices.
• Support the development and improvement of internal processes related to quantitative analysis, risk management, and FTP.
• Stay updated on the latest industry trends, regulatory developments, and best practices in quantitative risk, modelling, and FTP.
• Engage in ongoing professional development to enhance technical skills and knowledge in quantitative finance and risk management.