Quants Risk Analyst

JVR Software; Centurion; Presencial; ZAR 540.000 - 660.000; Jornada completa

Descripción de la vacante

JVR Software, Centurion, South Africa, seeks a Quants Risk Analyst to support the Head of Risk in building and maintaining an Enterprise Risk Management framework, including model development, validations and ORSA coordination. You will contribute to monitoring investment portfolio risks and pricing, with emphasis on stress testing and capital adequacy analysis.

The role requires an Honours degree in Economics/Actuarial Science/Statistics/Finance or Engineering/Mathematics, plus 5+ years in

Formación

• Honours degree in Economics, Actuarial Science, Statistics or Finance.
• Engineering or Mathematics is a requirement.
• At least 5 years’ experience in market risk, stress testing, PD and LGD credit models, loss forecasting and economic capital.
• Experience in regulatory capital, economic capital, and capital adequacy assessment.
• Familiarity with ORSA and/or ICAAP.
• Completion of or progression in FRM, CFA or Actuary is beneficial.

Responsabilidades

• Data collection for ERM purposes.
• Identification, development and maintenance of key risk indicators.
• Develop a risk monitoring program for the investment portfolio activities.
• Execute the risk monitoring program for the investment portfolio activities.
• Analyze stress test results and formulate recommendations to Executive Management and the Board.
• Design and maintain processes for validation of ALM, Premium Pricing, Reserving, and Economic Capital models.
• Develop a forward-looking risk assessment model and conduct regular stress testing and scenario analyses as per ORSA requirements.

Conocimientos

Market risk

Stress testing

PD/LGD models

Economic capital

Regulatory capital

ORSA/ICAAP

Research project

Educación

Economics

Actuarial Science

Statistics

Finance

Engineering/Mathematics

Descripción del empleo

An insurance company that has a particular interest in emerging markets in Africa is looking for a Quants Risk Analyst based in Centurion, Gauteng.

The purpose of this role is to assist the Head of Risk in developing and maintaining an effective risk management framework for the Company that includes Enterprise Risk Management, Model development and validations, and investment portfolio risk assessment and reporting, coordinate the ORSA process and reporting process.

Key Responsibilities

• Responsible for data collection for ERM purposes


• Responsible for identification, development, and maintenance of key risk indicators


• Contribute to the development of an appropriate risk monitoring program for the Companys investment portfolio activities.


• Responsible for executing the risk monitoring program for the Companys investment portfolio activities.


• Contribute towards the analysis of stress test results and formulation of recommendations to Executive Management and the Board


• Responsible for the design and maintenance of effective processes and procedures for the validation of the ALM, Premium Pricing, Reserving Model and Economic Capital model.


• Develop a model to independently establish a forward-looking assessment of the risk profile and financial position of the Corporation, including the conducting of regular stress testing and scenario analyses as defined in GOI 3.1 (Own Risk and Solvency Assessment (ORSA) for Insurers), against the risk appetite and risk limits of the Corporation.

Requirements

• HonoursdegreeinEconomics,ActuarialScience,Statistics,Finance,


• EngineeringorMathematicsisarequirement.


• Atleast5years’experienceinmarketrisk,stresstesting,PDandLGDcreditmodels,lossforecastingandeconomiccapital.


• Experienceinregulatorycapital,economiccapital,andcapitaladequacyassessment.


• FamiliaritywithORSAand/orICAAP


• Relevantindependentresearchprojectorthesisisbeneficial.


• CompletionoforprogressioninFRM,CFAorActuaryisbeneficial.

Salary

R600000 p/a