Senior Credit Quantitative Specialist

Old Mutual Life Assurance Company (SA) Ltd (PFA); Cape Town; On-site; ZAR 1,200,000 - 2,400,000; Full time

Job summary

Old Mutual Life Assurance Company (SA) Ltd (PFA) seeks a Senior Credit Quantitative Specialist to own and govern credit risk modelling across shareholder exposures. You will lead quantitative analysis of investment transactions, model validation and portfolio risk interpretation to support investment, capital and risk decisions.

You will validate models, interpret outputs, stress test results and coordinate with risk, actuarial, finance and technology teams.

Qualifications

• Experience validating credit risk models and governance
• Ability to interpret model outputs and stress tests
• Knowledge of risk modelling software and data controls

Responsibilities

• Own the credit risk modelling framework including methodology inventory, data requirements, controls and documentation
• Assess model performance and determine recalibration or replacement needs with the owner or developer
• Apply validated models to investment credit transactions, producing quantitative analysis for credit assessment and decision-making
• Model shareholder credit exposures in Moody's RiskFrontier to create a consolidated view of credit risk across portfolios
• Interpret outputs, concentrations, capital consumption and risk trends for governance forums
• Execute ORSA credit stress scenarios and provide management with interpretation of results and limitations
• Plan and execute risk-based validations of GCI-owned credit models
• Assess conceptual soundness, data, implementation, controls and fitness for use
• Document conclusions, limitations and remediation requirements
• Report material findings to governance forums and monitor remediation to closure
• Support design and development of systems by translating model risk and control requirements into clear specs
• Review system designs, data flows and controls for proper implementation and auditable evidence
• Maintain an effective, well-governed credit risk modelling framework and timely quantitative analysis
• Produce Moody's RiskFrontier outputs that reflect a consolidated risk view across portfolios

Skills

Credit risk modelling

Portfolio analytics

Quantitative analysis

Risk governance

Tools

Moody's RiskFrontier

Job description

Let's Write Africa's Story Together!

Old Mutual is a firm believer in the African opportunity and our diverse talent reflects this.

Job Description

The Senior Credit Quantitative Specialist is GCI's senior technical specialist responsible for the ownership, governance and application of credit risk modelling across OMLACSA shareholder credit exposures. The role leads quantitative analysis of investment credit transactions, modelling of retail and investment credit exposures, consolidated portfolio risk assessment and management interpretation to support investment, capital and risk decisions. It also supports implementation of related systems and is responsible for validation of GCI-owned credit models.

The incumbent is accountable for the effective operation and ongoing suitability of GCI's credit risk modelling framework, including approved model applications, transaction analysis, modelling of shareholder credit exposures in Moody's RiskFrontier, portfolio aggregation, stress testing and management interpretation. This requires deep theoretical knowledge and practical quantitative expertise to understand model construction, interrogate methodologies, data and outputs, and identify limitations or unsupported judgements.

The role additionally performs validation of GCI-owned credit models, covering risk-based scoping, testing, reporting, governance engagement and remediation follow-up. Model owners remain accountable for model development, implementation, monitoring and remediation.

The role is GCI's primary subject matter expert on credit risk modelling and portfolio analytics, engaging with investment teams, relevant business units, Group Risk, Group Actuarial, Finance and technology stakeholders. For its validation mandate, the role engages with model owners, developers, Internal Audit and the Models & Methods Committee.

Key Result Areas:

Credit Risk Modelling and Investment Portfolio Support

• Own GCI's credit risk modelling framework, including its methodology inventory, approved applications, data requirements, operating controls, documentation and ongoing fitness for purpose.
• Assess whether model performance, portfolio changes, new risks or changes in use require model recalibration, enhancement, redevelopment or replacement, and refer the required work to the accountable model owner or developer for action.
• Apply approved models within GCI's risk modelling software to proposed investment credit transactions, producing quantitative analysis to support credit assessment, pricing, structuring, risk-adjusted return analysis, capital assessment and investment decision-making.
• Use retail credit exposure data owned and provided by the relevant business units, together with investment credit exposure data, to model shareholder credit exposures in Moody's RiskFrontier and produce a coherent, consolidated view of credit risk across OMLACSA portfolios.
• Interpret model outputs, portfolio concentrations, capital consumption, risk-adjusted returns and emerging risk trends for management and governance forums.
• Execute the ORSA credit stress scenarios, assess the impact on GCI's investment credit exposures, and provide management with clear interpretation of the results, key drivers, assumptions and limitations.

Credit Model Validation

• Plan and execute risk-based validations of GCI-owned credit models.
• Assess conceptual soundness, assumptions, data, implementation, controls and fitness for use.
• Document independent conclusions, limitations, conditions of use and required remediation.
• Report material findings to governance forums and monitor remediation to closure.

Systems Development and Implementation Support

• Support the design and development of GCI systems, tools and data solutions by translating quantitative, model risk and control requirements into clear functional and technical requirements. Engage with business users, model owners, developers, data teams and technology stakeholders throughout requirements definition, solution design, testing, implementation and post-implementation review.
• Review system designs, data flows, calculations, interfaces and controls to assess whether approved methodologies and validation requirements have been implemented accurately and are auditable.

Measurable Role Outcomes

• Maintain an effective, well-governed GCI credit risk modelling framework that remains fit for purpose and supports timely management decisions.
• Deliver accurate, timely and decision-useful quantitative analysis of investment credit transactions, supported by appropriate checks, reconciliations and transparent documentation.
• Produce reliable and timely Moody's RiskFrontier outputs that provide a consolidated view of credit risk across OMLACSA portfolios, subject to the quality and completeness of data supplied by the relevant business units.
• Execute approved ORSA credit stresses within agreed timelines and provide clear management interpretation of results, key drivers, assumptions and limitations.

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