• Location: South Africa, Gauteng, Johannesburg
  • Salary: ZAR30000 - ZAR70000 per annum
  • Technology: C++ Jobs
  • Job Type: Permanent
  • Date Posted: 5th Feb, 2020
  • Reference: PFI05022020
Job title: Credit Quantitative Analyst



Job type: Full time



Location: Sandton



Reports to: Head of Credit Analytics



Job overview



The Credit Quantitative Analyst will be responsible for the development, refinement and validation of credit risk models in the timely delivery of various consulting engagements.



Responsibilities



Modelling



* Familiarity with various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc.



* Develop, refine and validate credit risk models for all product types (e.g. revolving facilities, amortising loans) across retail and wholesale portfolios



* Knowledge of a variety of credit risk modelling techniques in the development of probability of default (PD), exposure at default (EAD), loss given default (LGD), adjustments for forward looking information (FLI) and expected credit loss (ECL) models as well stage allocation through the measurement of significant increases in credit risk (SICR)



* Ensure regulatory compliance of above models with regards to IFRS 9 and Basel



* Development of data cleaning, diagnostics, trend analysis, transformation, performance monitoring and back-testing tools to facilitate model development/validation



* Research and development of new modelling techniques (e.g. machine learning, etc.)



Consulting delivery



* Engagement with internal and client management and auditors during client engagements



* Documentation of model development, refinement, etc. as well as preparation of Management results/findings presentation/s



* Ensure quality of final deliverable and timely delivery



Marketing and Sales



* Assist with writing of marketing documents



* Assist with compiling proposal documentation



Skills and experience



Qualifications



* Minimum of a Bachelor's degree in a mathematical discipline (Mathematics, Applied Mathematics, Statistics, BMI, Actuarial Sciences, Engineering, etc.)



Experience



* 3 - 5 years' professional working experience



* Minimum of 2 years' credit modelling experience



Skills



* Good team player



* Understanding of IFRS 9 and/or Basel regulations and how they impact credit risk modelling and management



* Strong SAS and SQL experience



* Python experience advantageous



* Cloud computing experience advantageous