Manager: Actuarial, Quants and Data Science (Market Risk)

SUMMARY:
Globally integrated firm of actuarial and quantitative professionals is looking for resource for their Actuarial, Quants and Data Science (AQDS) team. Someone that has experience with statutory, regulatory, data science and other quantitative areas. This includes market risk modelling, valuation of financial instruments (derivative and non-derivative) and structured deals, model risk monitoring

POSITION INFO:

Qualifications and experience required

• Relevant Masters (MComm / MSc /MPhil) or Honours degree with a professional qualification (CFA / FRM / PRM / FIA / FASSA)
• Sound understanding of quantitative methods and the application of these to financial risk management
• A minimum of 5 years relevant working experience

Your key responsibilities
The successful applicant will help develop and lead a team which can offer our clients advice and hands on assistance with issues such as:

• IFRS 13 fair value measurement focussing on the valuation of exotic derivatives across a range of underlying asset classes and the valuation of fixed income and money market instruments
• IFRS 2 share-based payment and BEE deal valuation
• xVA modelling (credit and debit valuation adjustment, funding valuation adjustment, etc.)
• Monte Carlo simulation techniques for valuations and event simulation
• IFRS 16 lease fair valuation and incremental borrowing rate estimation
• Risk modelling and stress testing of financial and non-financial models
• Model risk monitoring
• Liquidity risk management
• Portfolio theory, portfolio performance measurement and fee calculation
• Review and validation of FRTB and IRRBB implementations
• Development of thought leadership material on relevant industry topics

Client responsibilities

• Participate in and, as required, lead AQDS client engagements
• Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives
• Develop client solutions based on a deep understanding and knowledge of clients’ business needs
• Develop informed views for clients on the implications of current and anticipated industry issues
 
• Generate new business sales through proactively managing key accounts, identifying new client opportunities and playing a significant role in developing and driving a sales campaign/solution
People responsibilities
• Live the OUR CLIENT values
• Act as a thought leader in the field of market risk
• Lead engagement teams and accounts
• Develop people through effectively supervising, coaching and mentoring all junior levels of staff
• Provide learning and growth opportunities to staff and encourage the potential within all staff to take on challenging opportunities
• Conduct performance reviews and contribute to performance feedback for junior levels of staff
• Contribute to people initiatives including recruiting, retaining and training AQDS professionals
Maintain an educational program to continually develop your own personal skills

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