Credit Risk Quantitative Analyst – Johannesburg recruitment
The team are responsible for credit exposure methods analysis, and on the definition and set up of risk measures for counterparty risk and country risk, across all asset classes.
The candidate will play a senior role in a team, and responsibilities will include:
- Definition and implementation of Monte-Carlo calculations for measuring counterparty risk and country risk (extension of the Monte-Carlo calculation to the remaining transactions, securities financing, implementation of a Monte-Carlo calculation for country risk)
- Setting up quantitative models/tools to be IMM compliant and enable a better management of the credit exposure (support work on WWR, backtesting, stress-testing)
- Reviewing and improve existing models and processes
- Supporting the a Run The Bank team on methodologies for new products/exotic structures
- Involvement in other projects related to Counterparty risk
The successful candidate should have:
" Excellent quantitative and problem solving skills, in particular in stochastic calculus and statistics
" Very good financial markets product knowledge
" Good understanding of risk concepts and risk system infrastructure
" You may have a minimum of at least 3/5 years experience in financial markets quantitative roles
" The ideal candidate will have already worked in a counterparty risk modelling team
" Ability to deliver practical solutions in a demanding high pressure environment
" Excellent academic references including Master degree in financial mathematics or equivalent
" Strong programming skills (C#, C++, VBA, Matlab)