Senior Credit Risk Analytics & Validation Lead

Old Mutual Life Assurance Company (SA) Ltd (PFA)

Cape Town

In loco

ZAR 1.200.000 - 2.400.000

Tempo pieno

4 giorni fa

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Descrizione del lavoro

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.

Competenze

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

Mansioni

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