Quantitative Analyst at Standard Bank Group

JOB DESCRIPTION

The prime focus of the Calibration, Backtesting and Stress testing (CBS) team is to perform calibration of all the models used in the counterparty credit risk and country risk measurement of the Standard Bank Group trading activities across all asset classes. The team is also responsible for backtesting the adequacy of the models and parameters used at risk factor level and analysis of counterparty stress testing. The person will support the development, extension, implementation, and maintenance of quantitative models related to counterparty credit risk across all three areas, primarily in the CIB portfolio. Moreover the main modernisation and automation initiatives are housed in the CBS team.

QUALIFICATIONS

Minimum Qualifications:

• Honours Degree in Financial Mathematics or Computer Science
• Actuarial Science, or similar where there is enough focus on Financial Modelling of Derivatives.
• Masters Degree in Financial Mathematics or Computer Science

Minimum Experience Required:

• 3-4 Years experience in Measurement and management of Counterparty credit risk exposure.
• 3-4 Years experience in Financial and derivative market products.
• 5-7 years experience Description: an extended knowledge of pricing of derivative products across multiple asset classes, an understanding of stochastic processes used in the modelling of risk drivers underlying the derivative valuation, advanced understanding of coding in multiple languages, communication to various stakeholders and knowledge of counterparty credit risk measures and calculation thereof (PFE, EE, EPE).
• 3-4 years experience thorough knowledge in programming and developing applications and solutions; C#, Python.

ADDITIONAL INFORMATION

Behavioural Competencies:

• Examining Information
• Team Working
• Showing Composure
• Checking Details
• Conveying Self-Confidence

Technical Competencie:

• Risk Measurement