Senior Treasury Modelling & Analytics Expert

Absa Group; Sandton; On-site; ZAR 1,200,000 - 1,900,000; Full time

Job summary

Absa Group is seeking a highly skilled Quantitative Analyst to design, build and maintain Treasury models for liquidity risk, IRRBB and FTP. You will develop forecasting engines and scenario frameworks, perform back-testing and monitor model performance.

You will collaborate with ALM, Funding, Risk and Finance teams to translate business requirements into robust quantitative solutions and to ensure governance and regulatory compliance.

Qualifications

• Bachelor’s or Honours degree in a quantitative analytics field is required.
• 3–5 years’ experience in quantitative modelling, Model Development or Treasury/ALM in banking or financial services.
• Proven experience developing or maintaining forecasting, optimisation or behavioural models for balance sheet management, liquidity or interest rate risk.
• Practical programming experience in Python and SAS including production-ready tools and automated data processes.

Responsibilities

• Develop and maintain Treasury forecasting, optimisation and behavioural models supporting pricing, balance sheet planning, liquidity risk and interest rate 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 with data-driven calibration and back-testing.
• Measure liquidity metrics, fund stability and interest rate sensitivity; support regulatory reporting and stress testing.
• Extract, transform and analyse large Treasury datasets; build scalable, well-documented code and automated pipelines.
• Document model methodology and assist with validation, audits and governance.
• Collaborate with ALM, Funding, Risk and Finance teams to explain outputs to technical and non-technical stakeholders.

Skills

Statistical modelling

Data science

Forecasting

Classification

Optimisation

Statistics

Probability theory

Data analysis

Python

SAS

R

MATLAB

SQL

Communication

Collaboration

Education

Bachelor’s or Honours degree in Quantitative Analytics, Financial Engineering, Mathematics, Statistics, Actuarial Science, Computer/Data Science or related field

Tools

SAS

Python

R

MATLAB

SQL

Job description

Absa Group is seeking a highly skilled Quantitative Analyst to design, build and maintain Treasury models for liquidity risk, IRRBB and FTP. You will develop forecasting engines and scenario frameworks, perform back-testing and monitor model performance.

You will collaborate with ALM, Funding, Risk and Finance teams to translate business requirements into robust quantitative solutions and to ensure governance and regulatory compliance.