Quantitative Analyst - Counterparty Credit Risk - Sandton at Absa Group Limited (Absa)

Job Description

PFE management and monitoring

• Support Front Office requests for ad-hoc information and PFE calculations, including limit setting
• Support other Credit and Infrastructure staff with understanding of underlying counterparty  exposures related to complex deals
• Ensure accuracy and completeness of PFE and mtm exposures in the risk systems, through DQ controls monitoring, reporting and escalation
• Develop an understanding of the PFE models and the end to end reporting process, to enable you to provide training to stakeholders on request
• Attend and represent DCEM in counterparty credit risk work stream group sessions and provide input regarding PFE and mtm considerations
• Quantify and analyze Potential Future Exposure (PFE) and mtm for derivative portfolios, including OTC derivatives, swaps, options, and other structured products.
• Collaborate with trading desks, risk management, and quantitative teams to validate and calibrate PFE models and assumptions.
• Conduct sensitivity analysis and stress testing to evaluate the impact of market shocks and potential adverse scenarios on PFE and portfolio risk.
• Stay informed about market developments, regulatory changes, and best practices related to PFE and counterparty credit risk management.
• Work closely with technology and IT teams to implement and maintain PFE models and systems.
• Develop and monitor efficient and accurate processes for manual overrides and marginal risking, while striving to put in place strategic solutions

Systems Processes, Innovation and Projects

• Drive system and process change in counterparty credit risk space
• Automation and efficiency enhancement of existing reporting processes
• Assist in maintaining existing system framework – including Sigma, QlikView models and all ETL layers connecting these systems / processes
• Provide business requirements to IT for system changes to ensure accurate implementation of changes. This includes working closely with IT to test implementation and troubleshoot issues which may arise
• Documentation, validation and back testing of models – either as part of annual review process or for any new model which is developed

Reporting

• Assist in the preparation of reports and presentations for senior management, risk committees, and regulatory authorities on a monthly and adhoc basis
• Monthly reporting of stress testing and scenario analysis
• Daily margin reporting to the PA
• Build detailed analytics on counterparty portfolio, including sector analysis, concentration views, DG views.
• Monthly reporting for KRI’s and MI’s into the market risk governance forum

Skills 

• Corporate and Investment Banking cross product knowledge across all asset classes
• Excellent analytical and problem-solving skills, with the ability to interpret complex data and draw meaningful insights.
• Accountability for their roles and responsibilities within the team
• Strong verbal and written communication skills (presentations, technical papers)
• Pro-active and self motivated
• Detail-oriented with strong organizational skills and the ability to manage multiple priorities in a fast-paced environment.
• Programming skills (SQL, VBA, Python, SAS or R) would be of benefit but not essential
• Team player with a collaborative approach to working across departments and disciplines.
• Understands the importance of a strong control environment and is able to articulate, build and implement controls to ensure accuracy of risk data.
• Effective communication skills with the ability to present technical concepts and findings to diverse audiences
• Project management skills and the ability to drive delivery and execution.

Education

• Bachelors Degrees and Advanced Diplomas: Risk Management and Financial Risk Management
• FRM
• CA (SA)