Credit Risk Modelling Lead - Quantitative Specialist

Pivot Services; Cape Town; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

Pivot Services in Cape Town is seeking a Senior Credit Quantitative Specialist to own governance and application of credit risk modelling across shareholder exposures. The role leads quantitative analysis of investment credit transactions and models retail and investment credit exposures to inform risk, capital and investment decisions.

The incumbent validates credit models, maintains the effectiveness of the risk modelling framework and supports related system implementations, requiring deep

Qualifications

• Honours or Masters degree in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Finance.

Responsibilities

• Lead quantitative analysis of investment credit transactions, modelling of retail and investment credit exposures, consolidated portfolio risk assessment.
• Validate GCI-owned credit models and maintain the effectiveness of the credit risk modelling framework.
• Support implementation of related systems and interpret portfolio risk to inform investment, capital and risk decisions.

Education

Honours or Masters in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Finance

Job description

Pivot Services in Cape Town is seeking a Senior Credit Quantitative Specialist to own governance and application of credit risk modelling across shareholder exposures. The role leads quantitative analysis of investment credit transactions and models retail and investment credit exposures to inform risk, capital and investment decisions.

The incumbent validates credit models, maintains the effectiveness of the risk modelling framework and supports related system implementations, requiring deep