Qualifications/Experience

• First Degree in a quantitative field such as Mathematics, Statistics, Quantitative Finance, Econometrics, Physics, Engineering, Financial Engineering or Actuarial Sciences or equivalent.
• A postgraduate degree or professional qualification in a related field is an added advantage.
• A minimum of five (5) years of relevant experience related to financial and quantitative risk modelling. Strong knowledge of risk models as well as capital adequacy standards (e.g. Basel I – IV, Solvency II or equivalent) and International Financial Reporting Standards (IFRS 9 & 17) are required as well as strong quantitative and analytical skills encompassing – model development /review, analytics or quantitative research) covering applied statistics, data manipulation, programming and analytical techniques such as linear and nonlinear regression, time series forecasting, panel data analysis, optimization, data mining and survival analysis.
• Knowledge in programming and data analytics tools such as VBA, C++, Python and R, among other languages is a requirement.

Key Result Areas

• Assist teams in developing and maintaining a strong understanding of quantitative regulatory and internal risk management requirements related to various risks.
• With oversight/guidance from senior staff, research, analyze, code and document risk models for quantifying risks.
• Compute quantitative metrics and perform, at a minimum, impact analysis, root cause analysis and statistical analysis for various business initiatives or regulatory pronouncements across the businesses.
• Provide advisory services at all levels on the various quantitative endeavors the Business Units (BU) might want to pursue, this includes stress testing and new or existing model builds.
• Oversee the development of models (that is, design, estimate, implement, test, document and maintain quantitative models), whilst ensuring that adequate documentation and controls are maintained for all models and methodologies to enhance decision making.
• Champion quantitative risk reviews and validations across the Group, this includes annual review and adequacy assessment of Key Risk Indicators, targeted financial model reviews / validations as contained in the Company’s model inventory.
• Provide training to various stakeholders in order to improve the culture and skills base around quantitative risks. This includes up-skilling or re-skilling of colleagues in the risk and modelling fraternities to embrace the future of quantitative risk methods.
• Champion risk data quality and integrity by highlighting risk data quality issues and suggesting appropriate solutions.
• Risk reporting. Provide comprehensive interpretations, explanations, and conclusions based on a set of analytic results, including identifying new opportunities to enhance existing decisions and risk management processes through the use of analytical and statistical models and tools.
• Ensuring that the control environment around quantitative/model risk management aligns to policy and regulatory requirements.
• Assist the business with various financial risk deliverables, i.e. enhancement of existing techniques and the development of new risk measurement techniques.