Senior Credit Risk Modeling Expert

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

Job summary

Old Mutual Life Assurance Company (SA) Ltd is seeking a Senior Credit Quantitative Specialist to own and govern the group’s credit risk modelling across shareholder exposures. You will lead validation, develop model governance, and provide management with quantitative analyses to inform investment and capital decisions.

You will apply models to investment and retail credit exposures, generate consolidated risk views, and run ORSA stress scenarios, engaging with multiple business units and

Qualifications

• Strong quantitative and credit risk modelling expertise.
• Experience applying quantitative models to investment transactions.
• Experience with Moody's RiskFrontier or equivalent platforms.
• Ability to communicate complex analysis clearly.

Responsibilities

• Own and maintain the credit risk modelling framework and methodology inventory.
• Apply approved models to investment credit transactions for pricing and risk analysis.
• Produce Moody's RiskFrontier outputs for consolidated credit risk views.
• Interpret model outputs, concentrations and risk trends for governance forums.
• Execute ORSA credit stress scenarios within agreed timelines.
• Validate GCI-owned credit models and report findings.

Skills

Adaptive Thinking

Change Management

Data Compilation

Engineering Standards

Executing Plans

Numerical Aptitude

Portfolio Management

Communication Skills

Financial Acumen

Education

Honours or Masters degree in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Financial Engineering, Econometrics, Operations Research or Engineering

Tools

Moody's RiskFrontier

Python

SQL

Job description

Old Mutual Life Assurance Company (SA) Ltd is seeking a Senior Credit Quantitative Specialist to own and govern the group’s credit risk modelling across shareholder exposures. You will lead validation, develop model governance, and provide management with quantitative analyses to inform investment and capital decisions.

You will apply models to investment and retail credit exposures, generate consolidated risk views, and run ORSA stress scenarios, engaging with multiple business units and