Credit Risk Quantitative Analyst recruitment

 Main Responsibilities:

The candidate will play a senior role in a team mainly responsible of:

Ø  Analysis of the counterparty risk of specific transactions including developing one-off models for calculation of peak and expected exposure. This role covers all asset classes and products.

Ø  Defining and testing methodologies for calculating exposure on new products / new underlyings (including communication to Credit and Front Office on that subject)

Ø  Quarterly recalibration of the models used to measure counterparty risk and country risk ( stochastic processes, Wrong-Way risk …) and calibration of new underlyings

Ø  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, Africa…)

Ø  Set up quantitative models/tools to be IMM compliant and enable a better management of the credit exposure (support work on WWR, backtesting, stress-testing …)

Ø  Looking after methodological exposures issues in the daily counterparty risk exposure calculation

Ø  Ad-hoc stress-testing and portfolio reviews

Ø  Support, Advise and Train Front Office and Credit Risk in the understanding of the counterparty risk calculations

Skills and experience Required:

Qualifications:

Information for those wishing to relocate:

Tax:

Income is taxed on a sliding scale, up to around R889 000.00, at which point the tax payable is R276 546.00 which represents about 31%. Anything above that is taxed at a flat rate of 40%. So, for your example, let’s say R1100 000.00, the tax would be R276 546.00 + R84 400 (40% of R211 000.00 {R1100 000.00 - R889 000.00 = R211 000.00}) = Total tax of R360 946.00.  This is about 32.8% of the total earned, leaving one with R739 054.00.  This is roughly R61 587.00 per month, which is an extremely respectable after tax income in S.A.

Accommodation:

A couple of options just to illustrate:

A single-bedroom flatlet in Parkwood - a very good suburb in JHB (where Rob and Di live) - fully furnished with a full bathroom, kitchen, lounge, enclosed patio and secure off-street parking is going for R4 900.00 per month.

A two-bedroom flat with similar facilities in Bryanston - another good suburb, (even if not QUITE so classy as Parkwood), is going for R6 900.00 per month.

A luxury, furnished townhouse/villa in Sandton (another very good area), with two bedrooms and two bathrooms and covered parking, in a secure park-like property which contains 5 similar dwellings, is going for R12 500.00 per month. This includes DSTV (cable TV), laundry, security and water, and also a maid five days a week. (here is the URL for the Gumtree ad for this property: http://johannesburg.gumtree.co.za/c-Real-Estate-houses-flats-for-rent-Furnished-and-serviced-Cape-dutch-lodge-W0QQAdIdZ393923081 ) 

Cost of food and groceries:

Not very different from the UK.  If you were to spend R10 000.00 per month on groceries, you would be eating very well indeed.

Public transport:

Definitely worth having own car and the cost of motoring is also probably roughly comparable to the UK.

For more Details, please visit our Website – www.hamlynwilliams.com and for further information send any queries to C.dreyer@hamlynwilliams.com or call 0203 585 5084

Hamlyn Williams is an Executive Recruitment consultancy that specialises in placing Risk, Compliance, Regulatory Information Security professionals globally:- offering Retained, Contingency and Interim/Contract recruitment solutions for the Financial Professional Services.