Senior Quantitative Analyst - Market Risk

Placements24; Sandton; Hybrid; ZAR 900,000 - 1,500,000; Full time

Benefits offered by this job

Hybrid work model

Performance-based bonuses

Medical insurance

Retirement plan

Paid time off

Professional growth support

Job summary

Placements24 in Sandton, Gauteng seeks a Senior Quantitative Analyst specializing in Market Risk to develop models for VaR, ES, Greeks and monitor trading portfolio risks.

The role requires a Masters/PhD in a quantitative field, 5+ years of experience, strong programming in Python/R/C++/MATLAB, and collaboration with risk, trading, and technology teams; hybrid work model in a leading financial institution.

Qualifications

• Master's or PhD in a quantitative field (Finance/Math/Statistics/Physics/CS) is required.
• Strong analytical, problem-solving and quantitative modeling skills.
• Excellent communication and presentation abilities.

Responsibilities

• Develop, implement, and back-test quantitative models for market risk measurement (e.g., VaR, ES, Greeks).
• Analyze trading book exposures and identify potential market risks across asset classes.
• Design and conduct stress testing and scenario analysis to assess portfolio resilience.
• Collaborate with trading, risk management, and technology teams to ensure effective risk mitigation.
• Prepare reports for senior management and regulatory bodies.

Skills

Analytical thinking

Communication skills

Quantitative modeling

Education

Master's or PhD in Finance/Math/Statistics/Physics/CS

Tools

Python

R

C++

MATLAB

Job description

About the Role

Our client, a prominent financial institution, is seeking a highly skilled Senior Quantitative Analyst with a specialization in Market Risk to join their sophisticated analytics team in Sandton. This role is crucial for developing and implementing advanced models to measure, monitor, and manage the market risk exposures of the firm's trading portfolios. The ideal candidate will possess a robust quantitative background, deep understanding of financial instruments, and proficiency in programming. This is a fantastic opportunity to contribute to risk management strategies in a leading financial hub within Gauteng.

Key Responsibilities

• Develop, implement, and back-test quantitative models for market risk measurement (e.g., VaR, ES, Greeks).
• Analyze trading book exposures and identify potential market risks across various asset classes.
• Design and conduct stress testing and scenario analysis to assess portfolio resilience.
• Collaborate with trading, risk management, and technology teams to ensure effective risk mitigation.
• Prepare clear and concise reports and presentations on market risk exposures for senior management and regulatory bodies.
• Contribute to the firm's capital allocation and risk appetite frameworks.
• Stay abreast of industry best practices, regulatory changes, and emerging quantitative techniques in market risk.
• Mentor junior analysts and contribute to the overall technical development of the team.

Requirements

• Master's or PhD degree in a quantitative field such as Finance, Mathematics, Statistics, Physics, or Computer Science.
• Minimum of 5 years of experience in quantitative finance, with a strong focus on market risk management.
• Expertise in financial derivatives, fixed income, equities, and other relevant asset classes.
• Proficiency in programming languages like Python, R, C++, or MATLAB for quantitative modeling.
• Solid understanding of statistical modeling, time series analysis, and risk metrics.
• Experience with risk management systems and regulatory requirements (e.g., FRTB).
• Excellent analytical, problem-solving, and quantitative modeling skills.
• Strong communication and presentation skills, with the ability to explain complex concepts.
• Experience working in the Sandton, Gauteng, ZA financial district or similar environments is highly regarded.

Benefits

• Highly competitive salary with performance-based incentives and bonuses.
• Comprehensive medical, dental, and vision insurance plans.
• Generous retirement fund and long-term incentive plans.
• Significant paid time off and wellness programs.
• Opportunities for professional growth, including support for advanced certifications.
• Hybrid work model offering flexibility and work-life balance.
• Exposure to cutting-edge market risk challenges in a leading financial institution.
• A dynamic and collaborative work environment in Sandton.