Credit Risk Modeling Lead — Quantitative Specialist

Old Mutual Limited; Cape Town; On-site; ZAR 1,200,000 - 1,800,000; Full time

Job summary

Old Mutual Limited is seeking a Senior Credit Quantitative Specialist to own and govern credit risk modelling across shareholder exposures. You will lead quantitative analysis, model validation, and portfolio risk interpretation to support investment, capital and risk decisions.

The role requires deep quantitative expertise, governance engagement, and collaboration with Investment, Risk, Finance and Technology stakeholders. Closing date 02 November 2026 remains in scope.

Qualifications

• Honours or Masters degree in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Financial Engineering, Econometrics, Operations Research or Engineering.
• Minimum of 8–12 years’ experience in quantitative credit analysis, portfolio and capital modelling, structured credit, model application, model development, model validation or related fields.
• Experience applying quantitative models to investment transactions and analysing Retail, Corporate, structured and portfolio-level credit exposures.
• Experience using Moody’s RiskFrontier or a comparable credit portfolio modelling platform is advantageous.
• Advanced Excel and practical proficiency in Python, SQL or similar tools is advantageous.
• Experience supporting systems development or transformation initiatives involving quantitative models and data integration is preferred.
• Experience independently validating quantitative credit models and presenting findings through governance processes is preferred.

Responsibilities

• Own and govern GCI’s credit risk modelling framework and data requirements.
• Assess model performance and trigger recalibration, enhancement, or replacement as needed.
• Apply models to investment credit transactions to produce quantitative analysis for credit decisions.
• Model shareholder credit exposures in RiskFrontier for a consolidated view across portfolios.
• Interpret outputs and communicate risk implications for governance forums.
• Execute ORSA credit stress scenarios and provide interpretation of results and limitations.
• Plan and conduct risk-based validations of GCI-owned credit models.
• Report findings to governance and monitor remediation to closure.

Skills

Quantitative modelling

Credit risk

RiskFrontier

Python

SQL

Data analysis

Stakeholder engagement

Education

Honours/Masters in quantitative field

Tools

Moody’s RiskFrontier

Excel

Python

SQL

Job description

Old Mutual Limited is seeking a Senior Credit Quantitative Specialist to own and govern credit risk modelling across shareholder exposures. You will lead quantitative analysis, model validation, and portfolio risk interpretation to support investment, capital and risk decisions.

The role requires deep quantitative expertise, governance engagement, and collaboration with Investment, Risk, Finance and Technology stakeholders. Closing date 02 November 2026 remains in scope.