Quantitative Analyst

Recruiter:

Kamo Placements

Job Ref:

JHB000830/m

Date posted:

Monday, February 21, 2022

Location:

Pretoria, South Africa

Salary:

Annually

JOB SUMMARY:
To realise the responsibilities of the Risk Support Department (RSD) of the company in ensuring that model-based regulatory data reported by banks have integrity and validity

JOB DESCRIPTION:

JOB DESCRIPTION

Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
Assess banks’ applications to calculate regulatory capital on advanced approaches such as the advanced internal rating-based (AIRB) approach.
Assess material changes made to the risk measurement models used for the regulatory capital calculation of banks already on an AIRB approach.
Monitor and analyse risk measurement models throughout the industry, including the analysis of data and conducting of thematic reviews.
Provide input into risk reviews.
Participate in the internal capital adequacy assessments (ICAAPs) of banks.
Interpret and consult on the Regulations relating to Banks.

JOB REQUIREMENTS

A Bachelor’s degree in Econometrics, Mathematics, Statistics, Actuarial Science or an equivalent qualification; and
Five to eight years’ working experience in model development and/or model validation in the financial sector.

The following would be an added advantage:

A postgraduate qualification in any of the aforementioned, or Chartered Financial Analyst (CFA), Financial Risk Manager (FRM) or Professional Risk Manager (PRM) certification; and
An understanding of AIRB risk measurement models and systems as well as the development and validation thereof.

NB! This job is now closed. You can apply for other jobs by uploading your CV.

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