Senior Quants Risk Analyst – ORSA & ERM

JVR Software

Centurion

On-site

ZAR 540,000 - 660,000

Full time

2 days ago

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Job summary

JVR Software, Centurion, South Africa, seeks a Quants Risk Analyst to support the Head of Risk in building and maintaining an Enterprise Risk Management framework, including model development, validations and ORSA coordination. You will contribute to monitoring investment portfolio risks and pricing, with emphasis on stress testing and capital adequacy analysis.

The role requires an Honours degree in Economics/Actuarial Science/Statistics/Finance or Engineering/Mathematics, plus 5+ years in

Qualifications

Honours degree in Economics, Actuarial Science, Statistics or Finance.
Engineering or Mathematics is a requirement.
At least 5 years’ experience in market risk, stress testing, PD and LGD credit models, loss forecasting and economic capital.
Experience in regulatory capital, economic capital, and capital adequacy assessment.
Familiarity with ORSA and/or ICAAP.
Completion of or progression in FRM, CFA or Actuary is beneficial.

Responsibilities

Data collection for ERM purposes.
Identification, development and maintenance of key risk indicators.
Develop a risk monitoring program for the investment portfolio activities.
Execute the risk monitoring program for the investment portfolio activities.
Analyze stress test results and formulate recommendations to Executive Management and the Board.
Design and maintain processes for validation of ALM, Premium Pricing, Reserving, and Economic Capital models.
Develop a forward-looking risk assessment model and conduct regular stress testing and scenario analyses as per ORSA requirements.