Quantitative Risk Analyst at Sanlam Group

What will you do?
Responsible for determining prices of new derivative products and identifying schemes for managing risk on such products.   Builds pricing models for trading systems.  Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models.  Researches new models and numerical schemes.  Ensures that all risks in trading book products are correctly valued.  May be involved in identifying profitable trading opportunities.

What will make you successful in this role?

• Report and monitor daily risk across a combination of business units. This includes but is not limited to:
  •    Market Risk
  •    Credit Risk
  •    Liquidity Risk
  •    Funding Risk
• Follow up on limit breaches and obtain explanations from the front office teams.
• Error and exception monitoring and follow-up.
• Assist with the production of management reports (fortnightly, monthly, and quarterly).
• Assist with quantitative modelling / projects etc
• Build valuation and sensitivity models from first principles
• Handle ad-hoc requests such as:
  •    risk related queries
  •    recons of information between the various systems
  •    data collation from different data sources (e.g., Bloomberg, Murex, etc.); and
  •    assist with providing business information as and when needed.

Qualification and Experience

• MSc (Maths, Physics, Engineering) Degree with 3 to 6 years related experience
• Knowledge and Skills
• Risk analysis and management
• Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes.
• Ensures that all risks in trading book products are correctly valued.
• Pricing Analysis/Modeling
• Product Risk Mgmt

Personal Attributes

• Business insight - Contributing through others
• Manages complexity - Contributing through others
• Financial acumen - Contributing through others
• Balances stakeholders - Contributing through others