Head of Calibration, Backtesting & Stress-testing – Johannesburg recruitment
This team will be located in Johannesburg and will be part of the credit exposure department.
The candidate will play a senior role in a team, and responsibilities will include:
- Quarterly recalibration of the models used to measure counterparty risk and country risk (stochastic processes, Wrong-Way risk) and calibration of new underlyings
- Generation of risk factors and impact analysis
- Backtesting of these models
- Stress-testing of the credit exposure based on different type of scenarios (historical/hypothetical/multi-asset/single-asset) and at different levels (counterparty, sector, country)
- Presentation of the different results and analysis to the relevant committees and communication with credit managers and FO
- Review and improve tools and processes
- Interaction with the other teams of the credit exposure department to support the review of the models, training of the different users.
The successful candidate will have:
- Excellent quantitative and problem solving skills, in particular in stochastic calculus and statistics
- Very good financial markets product knowledge
- You may have a minimum of least 3 to 5 years experience in financial markets quantitative roles
- The ideal candidate would 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)
May 19, 2012
• Tags: Backtesting & Stress-testing, Commodities careers in the South Africa, Head of Calibration, Johannesburg recruitment • Posted in: Financial