Senior Specialist: Quantitative Analyst

1001 Absa Bank; Sandton; Sur place; ZAR 1 200 000 - 1 800 000; Plein temps

Résumé du poste

Absa Bank in Sandton is seeking a senior Quantitative Analyst to design, build and maintain Treasury models for liquidity risk, IRRBB, FTP, behavioural modelling and balance sheet forecasting.

You will develop robust cash-flow engines, scenario frameworks, back-testing and performance monitoring, collaborating with ALM, Risk and Finance to ensure governance and regulatory compliance.

Qualifications

• Strong statistical modelling / data science background.
• Experience in model development for forecasting and risk analysis.
• Proficiency in SQL and data manipulation.
• Ability to explain quantitative concepts to stakeholders.
• Collaborates effectively with cross‑functional teams.

Responsabilités

• Develop and maintain Treasury forecasting, optimisation and behavioural models for liquidity risk and pricing.
• Build forecasting frameworks for cashflows and funding under multiple rate scenarios.
• Design optimisation models to improve funding mix within regulatory constraints.
• Implement behavioural models for deposits and lending products (prepayment, repricing).
• Document methodologies and support model validation, governance and audits.

Connaissances

Statistical modelling

Data science

Forecasting

Data analysis

SQL

Communication

Formation

Bachelor's Degree in Business, Commerce and Management Studies

Outils

SAS

Python

R

MATLAB

Description du poste

Empowering Africa’s tomorrow, together...one story at a time. With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group. Belonging at Absa Absa is committed to creating an inclusive workplace where everyone can thrive. We are an equal opportunity employer and welcome applications from suitably qualified individuals from diverse backgrounds. In support of our Diversity, Equity, Inclusion and Belonging (DEIB) commitments and Employment Equity objectives, preference may be given to candidates from underrepresented designated groups, including persons with disabilities. We encourage applicants who may require reasonable accommodation during the recruitment process to let us know so that appropriate support can be provided.

Job Summary

Job Summary Job Description Summary Design, build and maintain Treasury models supporting liquidity risk, interest rate risk in the banking book (IRRBB), funds transfer pricing (FTP), behavioural modelling and balance sheet forecasting. Develop robust cash-flow engines and scenario frameworks using sound quantitative techniques. Perform detailed back-testing, sensitivity analysis and ongoing performance monitoring to ensure model accuracy and stability.

Job Description Quantitative Analysis and Modelling

Develop and maintain Treasury forecasting, optimisation and behavioural models supporting pricing, balance sheet planning, liquidity risk and interest rate risk analytics. Build statistical forecasting frameworks for cashflows and funding profiles under multiple rate scenarios. Design optimisation models to improve funding mix and balance sheet outcomes within regulatory and risk constraints. Implement behavioural models for deposits and lending products, including prepayment, decay and repricing dynamics, using data-driven calibration and back-testing.

Risk and Regulatory Analytics

Implement quantitative solutions to measure and monitor liquidity metrics, funding stability and interest rate sensitivity. Support production of regulatory measures through model development, data analysis and automation of calculation processes. Conduct stress testing and scenario modelling to assess the impact of market movements and balance sheet changes.

Data Engineering and Automation

Extract, transform and analyse large Treasury datasets to support modelling and reporting requirements. Build scalable, well-documented code and automated pipelines to improve model efficiency, reproducibility and governance. Enhance existing tools through optimisation, refactoring and improved data validation controls.

Model Governance and Validation Support

Produce clear technical documentation covering model methodology, assumptions and limitations. Assist with model validation exercises, benchmarking, remediation actions and audit queries. Ensure development practices align with internal model risk standards and regulatory expectations.

Stakeholder Collaboration

Work closely with ALM, Funding, Risk and Finance teams to translate business requirements into quantitative solutions. Provide technical explanations of model outputs and assumptions to both quantitative and non-technical stakeholders.

Continuous Improvement and Technical Innovation

Stay current with industry developments in Treasury modelling, balance sheet analytics and financial risk measurement. Proactively identify opportunities to enhance modelling approaches, improve computational performance and strengthen analytical capabilities.

Required Skills

• Crucial skillset: A strong statistical modelling/ data science background preferably with model development experience in the area of: Forecasting Classification Optimisation Statistics, probability theory Data analysis Programming Proficiency: Proficiency in programming languages such as SAS, Python, R, MATLAB, or similar languages.
• Experience in data manipulation, statistical analysis, and numerical computation using these languages.
• Familiarity with database querying languages (e.g., SQL) is a plus.
• Communication and Collaboration: Excellent verbal and written communication skills with the ability to explain complex quantitative concepts to both technical and non-technical stakeholders.
• Demonstrated ability to collaborate effectively with cross‑functional teams and present findings in a clear and concise manner.

Bonus Competencies

• A good understanding of econometrics
• Regulatory Awareness: Familiarity with regulatory requirements related to financial modelling in banking, such as BaselIII, IFRS9, and stress testing frameworks.
• Understanding of risk management concepts and regulatory compliance within the banking industry.
• Financial Market Knowledge: Strong understanding of financial markets, instruments, and products, particularly those related to banking Treasury activities.
• Knowledge of interest rate derivatives, fixed income securities, liquidity management, and risk measurement methodologies is highly desirable.

Education

Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)

At Absa, our story is not a single narrative. It’s thousands of individual journeys unfolding across Africa and beyond. From colleagues serving customers in local communities to teams shaping financial solutions across borders, Absa is built on people who bring their lived experiences, ambitions and perspectives into the workplace every day. Whether you’re starting your career, a seasoned leader or somewhere in between, your contribution is seen, valued and connected to something bigger. Our presence across Africa – which spans personal and business banking, corporate and investment banking, wealth and investment management, and insurance – exists because of the people who show up in their roles with purpose. Across Botswana, Ghana, Kenya, Mauritius, Mozambique, Seychelles, South Africa, Tanzania, Uganda and Zambia, our colleagues are shaping what Absa becomes in each market. Beyond the continent, teams in global offices and a technology hub support and extend the stories that prove that African talent can lead, influence and innovate on the global stage. At Absa, your story matters because progress is driven by human experience, not hierarchy. When people are enabled to bring their whole selves to work, they don’t just build careers. They help shape the future of Africa’s financial services landscape.