Senior Specialist: Quantitative Analyst at Absa South Africa

Job Summary

The Quantitative and Data Analytics Team applies Mathematics, Software Development, and Financial Market knowledge to;

• Solve applied pricing problems and
• Provide data insights that influence business strategy.

Our team has uniquely developed an in-house Pricing Library which (amongst others) produces all metrics required for the reporting and risk management of XVA’s across ABSA’s Derivative book. Our team’s role is ever expanding and we are pleased to announce a new opportunity to join our team as a Senior Quantitative Analyst. In this challenging role you will be expected to develop and continuously improve our pricing platform. In addition to a mature understanding of XVA’s, successful candidates will be expected to keep abreast of regulatory and derivative market developments and their impacts on pricing practices. Successful candidates will also be expected to establish and maintain relationships with our development partners and clients, being the XVA Trading Desk, Risk, Finance, IT, and Market Data teams.

Job Description

Responsibilities

• Continuous engagement with stakeholders to define requirements for Derivatives Pricing functionality (with an emphasis on XVA’s).
• Abstraction of business problems into mathematical and ultimately computational solutions.
• Undertake relevant research in various aspects of Derivative Pricing practice.
• Continuous learning in Derivative Pricing trends and relevant Regulatory changes.
• Understanding the architectural principles of the in-house Pricing Library and the Software Development Framework.
• Develop Production quality Computational Software in accordance with established principles.
• Provide support for deployed applications

Profile

• Minimum 5 years of experience in Quantitative Analytics.
• Mature knowledge of XVA’s (such as CVA, FVA, ColVa etc.)
• Mature knowledge of current regulations impacting Derivative markets (SACCR, FRTB-SA, FRTB-SACVA, Bilateral OTC regs. etc.)
• Mature knowledge of credit mitigants such as ISDA netting/CSA.
• Mature knowledge of the role of collateral as a credit mitigant and collateral operations
• Mature knowledge of C# and Object Oriented Programming
• Innovator, with a keen ability to leverage existing utilities while building new and novel approaches.
• Good Communication Skills (Solution Presentations, Software Documentation)

Education

• Ideally a Ph.D. or Masters Degree in a Quantitative discipline.

Education

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