Quantitative Analyst at Discovery Limited

Job description

We are looking for smart, energetic, experienced and dynamic achievers who take initiative and ownership, and who thrive on constant challenges and high-speed change to join us on this journey.

If you have an entrepreneurial mind and appreciate calculated risks, then the Discovery environment will liberate you to realise your full potential.

Discovery’s intention is to expand our business model into banking (subject to Regulatory Approval), and to establish a brilliant, innovative full-service retail bank in South Africa. From a regulatory perspective, this involves a lengthy and complex process the outcome of which is not guaranteed. A two-step approval is required: Firstly to obtain authorisation to establish a bank – and thereafter, after complying with all the conditions, to apply for registration as a bank. The first step, authorisation to establish a banking presence (S13(1) of the Banks Act 94 of 1990), has been completed. A banking business may only commence once registration as a bank has been granted and Discovery has embarked on this process.

We are looking for smart, energetic, experienced and dynamic achievers who take initiative and ownership, and who thrive on constant challenges and high-speed change to join us on this journey.

If you have an entrepreneurial mind and appreciate calculated risks, then the Discovery environment will liberate you to realise your full potential.

Key Purpose of the Quantitative Analyst

The Credit Risk Modelling team is responsible for the development, oversight and embedding of credit risk measurement models for the bank.

The Quantitative Analyst plays an important role within the Credit Risk Modelling team to, develop the credit risk models to predict risk estimates such as PD, EAD, and LGD, and operational models to support credit risk decisions. Areas the models will be used include:

• IFRS 9
• Basel models to support the Capital Calculation
• Account Management
• Acquisitions Management

Areas of Responsibility

• Build, validate, document, implement, monitor and rebuild:
• Credit risk models (retail loan origination models, business banking customer rating models, and loan behavior scorecards)
• Collective Provision and Expected Loss methodologies. This includes all inputs of Probability of Default, Loss Given Default and Exposure at Default (methodology).
• Conduct detailed analytical work with a high level of accuracy in order to deliver high-level results to senior management.
• Develop ongoing improvements to the model reporting.
• Responsible for managing issues through to resolution.
• Define and specify key data requirements to support modeling approaches.
• Document model “technical manual”, modeling choices made, and model methodology considerations.
• Working with the leaders of the Credit Risk Modelling team to ensure:
• Models are effectively embedded into operational activities
• The program of work for the department is documented and resourcing or delivery issues are well managed.
• Identifying inefficiencies and proposing operational process improvements to enable better outcomes.
• Add value to deliverables with excellent problem solving, idea generation and strategic thinking. Work closely with the wider Credit Team, Finance, Product Development and System Architects to optimize the best solution for the bank and group.

Profile of the Quantitative Analyst

• Resourceful and tenacious
• Self-motivated
• Focused on driving results
• Detail-oriented
• Organised and process oriented; ability to multi-task and manage time effectively
• Ability to convey complex data in a concise understandable manner and distil the key messages
• Strong problem-solving skills
• Ability to work effectively across varying levels of Management and multi-disciplinary teams
• Good and clear written style.
• Strong verbal and written reporting skills.
• Quantitative/qualitative analytical skills

Qualifications and Experience:

• MSc/ BSc (Hons) in Statistics/ Actuarial Science/ Financial Maths/ Applied Maths
• Programming capabilities in SAS / R / Python / VBA
• Must have at least 5-8 years of experience in relevant field (e.g. behavioral credit scoring, credit impairments under IFRS 9, regulatory capital requirements, credit risk management processes across the credit life cycle)
• Retail banking experience
• Strong track record of professional performance
• Skilled in Microsoft products, particularly PowerPoint, Word, Excel and Access

Employment Equity:

The Company’s approved Employment Equity Plan and Targets will be considered as part of the recruitment process. As an Equal Opportunities employer, we actively encourage and welcome people with various disabilities to apply