Analyst Quantitative DCEM at Absa

We are looking for a Quantitative Analyst to join the Derivative Counterparty Exposure Management (DCEM) Team. To accurately measure Absa’s trading book exposures so that it can be managed and mitigated and communicate accurate risk measures to Front Office and risk.

Job Description

Accountability: Pre-Deal Risking (15%)

• Provide accurate and timely responses to Front Office for exposure requests prior to trade
• Support Front Office requests for ad-hoc information as well as assisting with structuring of trades to ensure exposure remains within limits
• Support other Credit and Infrastructure staff with understanding of underlying exposures related to complex deals
• Interact with fellow DCEM colleagues and Absa Market risk to gain consensus on calculation estimates for material trades
• Address all aspects of derivative credit exposure relating to New Product Approvals (NPA) and Structured Trade Reviews (STR)
• Maintain an audit trail of risking of complex trades

Accountability: Calculation of Derivative Credit Exposure (40%)

• Oversee the efficient and accurate risking of all derivative exposures in line with current market and Group best practice, refreshed on a daily basis
• Develop and monitor efficient and accurate processes for manual overrides and marginal risking, while striving to put in place system solutions that minimise both.
• Support advancement to more capital-efficient models in compliance with existing regulatory framework – including interpretation of new regulations and guidance to capital management and front office regarding choice of new regulations and impact at trade level

Accountability: Systems and Process (15%)

• Assist in maintaining existing system framework – including Sigma, Qlikview models and all ETL layers connecting these systems / processes
• Provide business requirements to IT for changes and new methods to ensure accurate implementation of changes. This includes working closely with IT to test implementation and troubleshoot issues which may arise
• Documentation, validation and backtesting of models – either as part of annual review process or for any new model which is developed

Accountability: Governance & Compliance (15%)

• Produce regular management information to monitor trends and highlight variances
• Ensure adherence to all relevant Absa and Group policies relating to derivative exposures
• Co-ordinate testing and verification of risking models on an annual basis
• Implement and oversee a control framework relating to all aspects of operations

Accountability: Training and Stakeholder Education (15%)

• Provide senior credit representatives insight into risking approach for material trades
• Educate regional and local business representative on methodology and approach taken to calculate PFE
• Explain impact of new trades to front office and provide advisory service to re-structure trade pattern in order to facilitate trading within limits

Education And Experience Required

• Strong derivative knowledge required.

Either Credit Or Market Risk Experience Required.

• Minimum 3 years in investment banking.
• Quantitative degree preferable
• CFA / PRIMA preferable

Knowledge & Skills: (Maximum of 6)

• Derivatives knowledge of Forex, Interest Rate Derivatives, Credit Derivatives, Commodities, Fixed Income and Money Markets – pricing and risking (Advanced)
• Financial and mathematical knowledge and skills (Advanced)
• Broad quantitative and regulatory knowledge surrounding derivatives and financial markets (Advanced)
• Stakeholder Management Skills (Solid)
• Sound knowledge of Banking Credit (Solid)
• Knowledge of relevant accounting standards (Solid)

Competencies: (Maximum of 8 competencies)

• Market and Credit Risk knowledge
• Personal & Interpersonal Skills
• Business Skills
• Technical Knowledge
• Commercial Effectiveness
• Control Environment
• Managing pressurized work environment
• Key stakeholder management

Education

• Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)