Quantitative Analyst: CIB Market Risk at Nedbank

Job Purpose

• Exciting opportunity to work closely with Business and Risk stakeholders in delivering holistic quantitative solutions that contribute to the development and maintenance of market risk and counterparty credit risk valuation methodologies ensuring alignment with regulatory frameworks and international best practices.

Job Responsibilities

• Perform first line model validation of trading and risk models covering market risk and counterparty credit risk models.
• Provide quantitative support to various internal and external stakeholders on valuation and modelling related queries.
• Provide PFE and other counterparty related analytics to Risk and Business stakeholders to support the credit management process.
• Contribute to Nedbank’s holistic valuation framework to ensure accuracy and alignment to industry best practices.
• Seek opportunities to improve business processes; models and systems by identifying and recommending effective ways to operate and adding value to Nedbank.
• Contribute to the development of differentiated; superior solutions (solution engineering) that meet stakeholder and business requirements through analysis.
• Ensure business needs are met by engaging and assisting business through regular interaction and attendance at forums and committees.
• Establish understanding of processes by bridging the gap between operational and analytical concepts through communication.
• Enable skilling and required corrective action to take place by sharing knowledge and industry trends with team and stakeholders during formal and informal interaction

Post graduate degree in Statistics/Mathematics/Actuarial Science

• CFA/ FRM/CQF
• 2-5 year's experience

Technical / Professional Knowledge

• Proficiency with Python, Matlab, or R
• Relevant regulatory knowledge
• Analytical Skills
• Industry trends
• Risk management process and frameworks
• Business writing skills
• Business Acumen

Behavioural Competencies

• Adaptability
• Applied Learning
• Earning Trust
• Communication
• Stress Tolerance
• Driving for results
• Continuous Improvement
• Technical/Professional Knowledge and Skills