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  • Posted: Jul 17, 2024
    Deadline: Not specified
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  • Absa Group Limited (Absa) has forged a new way of getting things done, driven by bravery and passion, with the readiness to realise the possibilities on our continent and beyond.
    Read more about this company

     

    Quantitative Analyst - Counterparty Credit Risk - Sandton

    Job Description

    PFE management and monitoring

    • Support Front Office requests for ad-hoc information and PFE calculations, including limit setting
    • Support other Credit and Infrastructure staff with understanding of underlying counterparty  exposures related to complex deals
    • Ensure accuracy and completeness of PFE and mtm exposures in the risk systems, through DQ controls monitoring, reporting and escalation
    • Develop an understanding of the PFE models and the end to end reporting process, to enable you to provide training to stakeholders on request
    • Attend and represent DCEM in counterparty credit risk work stream group sessions and provide input regarding PFE and mtm considerations
    • Quantify and analyze Potential Future Exposure (PFE) and mtm for derivative portfolios, including OTC derivatives, swaps, options, and other structured products.
    • Collaborate with trading desks, risk management, and quantitative teams to validate and calibrate PFE models and assumptions.
    • Conduct sensitivity analysis and stress testing to evaluate the impact of market shocks and potential adverse scenarios on PFE and portfolio risk.
    • Stay informed about market developments, regulatory changes, and best practices related to PFE and counterparty credit risk management.
    • Work closely with technology and IT teams to implement and maintain PFE models and systems.
    • Develop and monitor efficient and accurate processes for manual overrides and marginal risking, while striving to put in place strategic solutions

    Systems Processes, Innovation and Projects

    • Drive system and process change in counterparty credit risk space
    • Automation and efficiency enhancement of existing reporting processes
    • Assist in maintaining existing system framework – including Sigma, QlikView models and all ETL layers connecting these systems / processes
    • Provide business requirements to IT for system changes to ensure accurate implementation of changes. This includes working closely with IT to test implementation and troubleshoot issues which may arise
    • Documentation, validation and back testing of models – either as part of annual review process or for any new model which is developed

    Reporting

    • Assist in the preparation of reports and presentations for senior management, risk committees, and regulatory authorities on a monthly and adhoc basis
    • Monthly reporting of stress testing and scenario analysis
    • Daily margin reporting to the PA
    • Build detailed analytics on counterparty portfolio, including sector analysis, concentration views, DG views.
    • Monthly reporting for KRI’s and MI’s into the market risk governance forum

    Skills 

    • Corporate and Investment Banking cross product knowledge across all asset classes
    • Excellent analytical and problem-solving skills, with the ability to interpret complex data and draw meaningful insights.
    • Accountability for their roles and responsibilities within the team
    • Strong verbal and written communication skills (presentations, technical papers)
    • Pro-active and self motivated
    • Detail-oriented with strong organizational skills and the ability to manage multiple priorities in a fast-paced environment.
    • Programming skills (SQL, VBA, Python, SAS or R) would be of benefit but not essential
    • Team player with a collaborative approach to working across departments and disciplines.
    • Understands the importance of a strong control environment and is able to articulate, build and implement controls to ensure accuracy of risk data.
    • Effective communication skills with the ability to present technical concepts and findings to diverse audiences
    • Project management skills and the ability to drive delivery and execution.

    Education

    • Bachelors Degrees and Advanced Diplomas: Risk Management and Financial Risk Management
    • FRM
    • CA (SA)

    Check how your CV aligns with this job

    Method of Application

    Interested and qualified? Go to Absa Group Limited (Absa) on absa.wd3.myworkdayjobs.com to apply

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