Quantitative Analyst

 

Recruiter:

e-Volving

Job Ref:

MN_493941391932

Date posted:

Tuesday, February 22, 2022

Location:

Johannesburg, South Africa

Salary:

Cost To Company, 550000 - 750000 Annually


SUMMARY:

An exciting opportunity exists at a boutique consultancy.  They are looking for someone who has experience with various model building techniques and has an understanding of IFRS 9 in the credit risk space.

INTERESTED? READ BELOW TO FIND OUT MORE!



JOB DESCRIPTION:

  • Understanding and familiarity with various aspects of the credit life cycle including, scoring, impairments, capital, pricing etc.
  • Developing, refining and validating credit risk models for all product types (e.g. revolving facilities, amortising loans) across retail and wholesale portfolios
  • Understanding and knowledge of a variety of credit risk modelling techniques in the development of probability of default (PD), exposure at default (EAD), loss given default (LGD), adjustments for forward looking information (FLI) and expected credit loss (ECL) models as well stage allocation through the measurement of significant increases in credit risk (SICR)
  • Ensuring regulatory compliance of above models with regards to IFRS 9 and Basel
  • Developing data cleaning, diagnostics, trend analysis, transformation, performance monitoring and back-testing tools to facilitate model development/validation
  • Researching and developing new modelling techniques (e.g. machine learning, etc.)

 

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