Junior Quant Analyst

Job Description

Johannesburg

Skill Farm Experts Are Invited to Apply for the Following Role:

Responsibilities: • Validation of credit risk models and processes – Quantitative and qualitative validation of credit risk models and data, together with the application thereof. • Subject matter expert – Provide input/assistance in the build and refinement of credit risk models within the business clusters. • Enhancements to existing models – Independent development of models to assess potential for improvement on existing ones. • Continuous learning – Keeping abreast with emerging regulatory requirements and modelling techniques in order to fulfil the role as a subject matter expert. Conduct research into model development and validation best practice. Independently develop alternate PD, LGD, EAD models to that currently in use. • Liaising with the stakeholders – Liaising with the business, credit, and senior modellers to ensure that the validation process and feedback are optimised. Preparing and presenting reports to senior management. • Change facilitation – Facilitate improvement in credit risk models and processes. • Organisational learning – Knowledge sharing, research and mentoring of junior staff members and graduates, including skill transfer. • Documentation – Document work performed and findings of validations. Prepare balanced and objective written communications to various stakeholders, including SARB, the external auditors of the bank and the Board. Skills: • Knowledge of legislative requirements for regulatory credit capital models under the AIRB approach • Statistical or mathematical modelling skills • Knowledge of IFRS 9 Financial Instruments standard for the calculation of credit impairments is an advantage • Understanding of credit modelling and rating process • MS Office, particularly Excel (advanced user) • SAS and VBA (preferred)

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