Senior Treasury Modelling Specialist

Absa Bank Limited; Sandton; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

Absa Bank Limited is seeking a quantitative analyst to design, build and maintain Treasury models supporting liquidity risk, IRRBB and balance sheet forecasting. You will develop robust cash-flow engines, scenario frameworks and data-driven calibration with back-testing.

The role involves regulatory analytics, model governance, and collaboration with ALM, Risk and Finance teams to deliver scalable, automated pipelines and transparent documentation.

Qualifications

• Strong statistical modelling/data science background.
• Experience with forecasting, optimisation and balance sheet analytics.
• Exposure to Basel III/IFRS9 and stress testing is desirable.

Responsibilities

• Develop and maintain Treasury forecasting, optimisation and behavioural models.
• Build cash-flow and funding scenario frameworks under multiple rate scenarios.
• Design and implement model validation and governance documentation.
• Collaborate with ALM, Funding, Risk and Finance teams to translate requirements.

Skills

Forecasting

Classification

Optimisation

Statistics

Data analysis

Programming

Communication

Education

Bachelor’s or Honours in Quantitative Analytics/Financial Engineering/Math/Statistics/Actuarial/CS

Bachelor’s in Business/Commerce/Management Studies

Tools

Python

SAS

R

SQL

MATLAB

Job description

Absa Bank Limited is seeking a quantitative analyst to design, build and maintain Treasury models supporting liquidity risk, IRRBB and balance sheet forecasting. You will develop robust cash-flow engines, scenario frameworks and data-driven calibration with back-testing.

The role involves regulatory analytics, model governance, and collaboration with ALM, Risk and Finance teams to deliver scalable, automated pipelines and transparent documentation.