Quantitative Analyst Mathematics/Financial Mathematics/

Job Description

Job Purpose
To contribute to the delivery of MI, analysis and reporting, including recommendations on Economic Profit (EP) and Shareholder value-add (SVA) optimisation, and other important Portfolio Tilt metrics (for assets)
Job Responsibilities
Support the enhancement of the modelling and Analysis of assets returns metrics.
Support the enhancement of risk/return analytics and conducting independent deep dives into various portfolios.
Conducting and delivery of asset Market share and Peer analytics to support the Group’s Portfolio Tilt.
Conducting high quality analytics to actively support Group Credit Risk in the management of credit strategy and risk appetite.
Play a role in the assessment of strategic implication of IFRS 9 and implementation of corresponding measures to address these implications.
Play a role in the delivery of advanced impairment analytics and sensitivity analysis – Attribution Reports.
Support the delivery of credit capital analytics to support management of the Group’s credit portfolio.
Play a role in the design of new regulatory requirements (BASEL 3 reforms) and associated RWA optimisation.
Support the design and implementation of the strategic response to BASEL 3 reforms.
Support enhancement of internal credit risk reporting capabilities.
Stay abreast of BCBS and best practice / international developments in credit risk measurement, analytics, management and reporting and assist in developing necessary strategies to ensure optimal impact on the group’s portfolio.
Outputs / deliverables (main items)
High quality analytics that will contribute and support Group Credit Risk in the management of credit strategy and risk appetite.
Quantitative portfolio analytics to support portfolio performance assessment and enhancement of risk/return analytics.
Successful delivery of ‘value add’ modelling and analysis of asset returns metrics across the Group.
Minimum Experience Level
2+ years’ work experience in the area of credit (e.g. risk, strategy, origination, pricing)

Responsibilities + Skills

Developing ways to minimize risksInfluencing stakeholders to obtain buy-in for concepts and ideasSharing information in different ways to increase stakeholders understandingExecuting strategy

Education

Post graduate degree in Mathematics/Financial Mathematics/Statistics/Economics, or Chartered Accountant with credit experience.Type of ExposureAnalysing situations or data that requires an in depth evaluation of multiple factors

Experience

Working with a group to identify alternative solutions to a problemInteracting with diverse peopleBuilding and maintaining effective relationships with internal and external stakeholdersAnalysing and interpreting quantitative and qualitative dataManaging multiple projectsProfessional/Technical Competencies

Job Summary

  • Published on: Friday, 3rd January 2020
  • Designation: Quantitative Analyst
  • industry: Finance
  • Vacancy: 1
  • Employment Status: Full-time
  • Job Location: Johannesburg
  • Salary: not
  • Gender:
  • Application Deadline: Friday, 3rd January 2020

About the Company

  • Company Name: Nedbank Recruiting.
  • Address:
  • Website: https://www.nedbank.co.za/
  • Company Profile:
  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale productsContributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolvesConducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfoliosConducting independent credit risk stress testing related research and using it as input into proposals and strategiesEngaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream

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