Analyst: Quantitative Risk Modelling & Validation at Datacentrix

• Our client is looking for a qualified Analyst: Quantitative Risk Modelling & Validation who holds a Bachelor’s Degree Actuarial Science, Mathematics, Statistics, Finance, Econometrics, Quantitative Risk or a related field. Must have at least 4-6 years of experience in Asset and Liability Management, Financial Risk Management or Treasury.

Qualifications and Experience Required:

• Matric plus Bachelor’s Degree Actuarial Science, Mathematics, Statistics, Finance, Econometrics, Quantitative Risk or a related field.
• 4-6 years of experience in ALM, Financial Risk Management or Treasury
• Proficiency in statistical software and programming languages (e.g., R, Python, or similar).
• Understanding of financial markets, instruments, risk management concepts, and Funds Transfer Pricing mechanisms.
• Good understanding of Asset and Liability Management, gained through hands-on experience or Asset and Liability Management training attendance
• Experience with quantitative modelling and validation in a financial services environment.
• Familiarity with best practice frameworks related to market risk and FTP methodologies.
• Knowledge of data analysis tools and techniques.

Responsibilities:

• Assist in the development of quantitative risk models used for market risk measurement, including Value at Risk (VaR), stress testing, scenario analysis, and FTP models.
• Participate in the validation process of quantitative models, ensuring accuracy, reliability, and compliance with regulatory requirements.
• Collect, clean, and analyse financial data from various sources to support modelling activities and FTP calculations.
• Conduct statistical analyses to identify trends, patterns, and anomalies in financial data, particularly focusing on interest rate risk and funding costs.
• Collaborate with senior managers to implement and enhance risk models and FTP methodologies, ensuring they are robust and aligned with industry standards.
• Support in analysis to support decision making on Equity Price risk management.
• Perform the calculation of the monthly Share Price forecasting for use in the strategic balance sheet modelling process.
• Support the calculation and implementation of FTP rates to accurately reflect the cost of funds and the credit risk associated with various business units.
• Assist in analysing the impact of FTP on overall profitability and performance metrics, providing insights to enhance decision-making.
• Conduct back testing of models to assess predictive performance and recalibrate models as necessary, including FTP models.
• Prepare detailed reports and presentations summarising quantitative analyses, model outcomes, FTP rates, and associated risks for ALCO Technical, ALCO and other stakeholders.
• Assist with ALCO process coordination.
• Participate in ALCO meetings including preparing and presenting ad-hoc reports as needed for the committee.
• Assist the Share Price Forecasting sub-committee with coordination and minute taking, if required.
• Preparation of monthly and quarterly risk reports and presentations for ALCO Technical and/or ALCO.
• Assist in communicating complex quantitative concepts, including FTP implications, to nontechnical audiences.
• Work closely with cross-functional teams, including strategic business units, finance, risk management, and treasury, to ensure effective model implementation, FTP integration, and overall risk management practices.
• Support the development and improvement of internal processes related to quantitative analysis, risk management, and FTP.
• Stay updated on the latest industry trends, regulatory developments, and best practices in quantitative risk, modelling, and FTP.
• Engage in ongoing professional development to enhance technical skills and knowledge in quantitative finance and risk management.