Quant Analyst (RtB Trading Risk Analytics), CIB Risk

Job Description

Job Details Risk Management: understanding all risks – from the economic to the political – that could affect our global business, and offering guidance to all parts of the bankJob PurposeSupport the measurement and maintenance of counterparty credit risk calculations and on derivatives products across all asset classes on a daily basis. This measurement relies mainly on Monte-Carlo simulation (also using Add-On methodology where required) of the market variables using defined stochastic process and pricing functions. The maintenance of the calculation pertains to the Credit Risk System, Adaptiv, including all other data feeds (transaction, legal and market data)Key Responsibilities/AccountabilitiesSupport FO (Front Office) queries on new trades and activitiesCalculate pre-deal PFEs (Potential Future Exposure) on structured transactions by using approved models and systems or building up spreadsheet models. Determine parameters and direct appropriate next steps.Support business on new product initiatives by assisting with product requirements.Provide liquidity ratings on bonds for securities financing trades by running calculations using the tool.Enable changes/fixes/enhancements to the credit risk system and BAU (Business as Usual) releases.Analyze changes to the Credit Risk system by raising and specifying requests related to exposures with the vendorPrioritize, test and assess impacts on exposures/limits as well as communicate on this with every release.

Responsibilities + Skills


nvestigate exposure number queries raised by Credit and Front Office (FO) this will cover the different type of measures: PFE, EPE (Expected Positive Exposures), WWR (Wrong Way Risk), Value map (portfolio sensitivities) and other bespoke requests.Explain and train users on methodologies used to measure exposures.


Job Summary

  • Published on: Thursday, 20th February 2020
  • Designation: Quant Analyst (RtB Trading Risk Analytics), CIB Risk
  • industry: Finance
  • Vacancy: 1
  • Employment Status: Full-time
  • Job Location: Johannesburg
  • Salary: on a call
  • Gender:
  • Application Deadline: Thursday, 20th February 2020

About the Company

  • Company Name: Standard Bank Group.
  • Address: 9th Floor 011 636 9111/2 SBZAZAJJ Standard Bank Centre 5 Simmonds Street Johannesburg 2001 P O Box 7725
  • Website: https://www.standardbank.co.za
  • Company Profile:
  • To provide design and build decision agents and Credit process requirements for all Personal and Business products across the risk lifecycle for a particular stream (i.e. origination, account management and collections - to be customised per jobholder). This includes the process design of the end-to-end solution and working closely with appropriate Architectures (e.g., IT, Credit, Business, Data, etc.) to formulate sustainable strategic solutions.

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