Quantitative Analyst

Quantitative Analyst

Posted at h in Uncategorized by

Location: Pretoria

Brief description

The purpose of this position is to realise the responsibilities of the Risk Support Department (RSD) of the Prudential Authority in ensuring that model-based regulatory data reported by banks have integrity and validity.

Detailed description

The successful candidate will be responsible for the following key performance areas:

  • Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
  • Assess banks’ applications to calculate regulatory capital on advanced approaches such as the advanced internal rating-based (AIRB) approach.
  • Assess material changes made to the risk measurement models used for the regulatory capital calculation of banks already on an AIRB approach.
  • Monitor and analyse risk measurement models throughout the industry, including the analysis of data and conducting of thematic reviews.
  • Provide input into risk reviews.
  • Participate in the internal capital adequacy assessments (ICAAPs) of banks.
  • Interpret and consult on the Regulations relating to Banks.
  • Provide input in terms of the development of prudential standards, directives, guidance notes and circulars regarding risk measurement models to ensure the implementation of sound risk measurement practices.
  • Develop risk principles, processes and methods relating to the assessment of risk measurement models.
  • Develop and maintain knowledge relating to regulatory capital models and the use thereof within banks.
  • Provide, as required, specialist training to risk support and frontline supervision staff members on risk measurement models used by banks.

Job requirements

To be considered for this position, candidates must be in possession of:

Additional requirements include:

  • a Bachelor’s degree in Econometrics, Mathematics, Statistics, Actuarial Science or an equivalent qualification; and
  • five to eight years’ working experience in model development and/or model validation in the financial sector.

The following would be an added advantage:

  • a postgraduate qualification in any of the aforementioned, or Chartered Financial Analyst (CFA),
  • Financial Risk Manager (FRM) or Professional Risk Manager (PRM) certification; and

an understanding of AIRB risk measurement models and systems as well as the development and validation thereof.

Additional requirements are as follows:

  • knowledge of banking products;
  • knowledge of relevant components of the Regulations relating to Banks;
  • knowledge of the risks banks face;
  • competence in basic office information technologies including SAS, Python or Matlab;

analytical/problem-solving capabilities;

  • strong verbal and written communication skills;
  • ability to work in a team and contribute to team success;
  • decision-making abilities with the ability to initiate action;
  • effective time management skills; and reliable own transport

Should you meet the requirements as set out above, please e-mail your CV to  recruitment@globaletalent.co.za

Closing date: 14 January 2022