Quantitative Analyst

SUMMARY:
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POSITION INFO:

Quantitative Analyst (BSM)

R1.2m (Negotiable) plus bonus

Cape Town/Gauteng

Superb career opportunity with leading global insurance group. The GBSM Quantitative Analytics team is focused on identifying, measuring, and mitigating market and liquidity risk resulting from insurance business in South Africa and the rest of the continent. 

Key performance areas

• Take an ownership role in the team’s Monte Carlo infrastructure and understand the process flow and model dynamics. Address shortcomings or areas for improvement Discuss and defend the modelling approaches with other business units and external auditors
• Improve the analytics architecture to support the centralised risk transition
• Develop and refine modelling for embedded derivative products in SA and Rest-of-Africa. Liaise with actuarial modelling teams and in-country business units
• Review and extend hedging programmes for new and existing products. Ensure effectiveness of risk management strategies is reported clearly and concisely to Group level
• Use market knowledge and financial modelling experience to improve hedging models by advanced curve construction and improvements to volatility marking processes
• Work with trading teams and actuarial specialists to develop innovative risk management solutions and develop new products
• Support Group regulatory compliance and preparations for regulatory changes such as IFRS17.

Qualifications and experience

• MSc in quantitative subject, e.g. Mathematics, Financial Engineering, Physics, ActSci.
  • Actuarial or financial mathematics qualifications highly beneficial
• At least 5 years’ experience in similar or related role / industry
• Strong coding experience