Senior Credit Risk Modelling Lead

Old Mutual South Africa

Cape Town

On-site

ZAR 1,500,000 - 1,900,000

Full time

6 hours ago

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Job summary

Old Mutual South Africa in Cape Town seeks a Senior Credit Quantitative Specialist to own the credit risk modelling framework, validate models and drive governance across shareholder exposures. The role leads quantitative analysis of investment credit transactions, performs stress testing and provides interpretation for investment, capital and risk decisions.

You will collaborate with risk, finance and technology teams, deploy Moody’s RiskFrontier, enhance data models, and ensure controls and

Qualifications

Honours or Masters in Actuarial Science, Statistics, Mathematics, or related fields.
8–12 years in quantitative credit analysis and related modelling.
Experience applying models to investment, retail and corporate credit exposures.
Experience with RiskFrontier or similar portfolio modelling platforms.
Advanced Excel; Python/SQL skills advantageous.
Experience validating models and communicating findings to governance.

Responsibilities

Own the credit risk modelling framework including methodology inventory and data requirements.
Assess model recalibration, enhancement, or replacement needs and coordinate actions.
Apply approved models to investment credit transactions to support pricing, risk-adjusted returns, and decisions.
Model shareholder credit exposures in Moody’s RiskFrontier and provide consolidated risk views.
Interpret outputs for management forums and governance; respond to emerging risks.
Execute ORSA credit stress scenarios and interpret results for stakeholders.