Quantitative Analyst profile banner profile banner

Quantitative Analyst

Share this job with a friend

The Programme

The incumbent will contribute to a team which specialises in the development, support and implementation of best-practice credit risk stress and scenario testing and loss forecasting models, frameworks and processes. The use of these to inform strategy, planning and risk appetite.

What You Will Do

Job Responsibilities:

  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale products.
  • Contributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolves.
  • Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfolios.
  • Conducting independent credit risk stress testing related research and using it as input into proposals and strategies.
  • Engaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream.
  • Interrogating business’ forecast assumptions (e.g. new business volume and risk profile) to ensure high quality of overall forecasts.
  • Ensuring high quality credit capital forecasts for the capital adequacy planning process, and fair value assessments for financial reporting.
  • Contributing to the active use of stress and scenario testing across the Group to better manage risk.

Job Outputs:

  • Staying abreast of regulatory guidance and international best practice as it relates to credit risk stress testing (impairments as well as capital).
  • Furthering the development of impairment analytics at Group level (e.g., attribution reporting).
  • Supporting the enhancement of internal credit risk reporting capabilities more generally.
  • Supporting input into Nedbank Group's strategic planning process and assisting with recommendations on credit strategy through insightful analysis.
  • Development and implementation of bottom-up stress testing and loss forecasting models.
  • Development and implementation of impairment analytics (e.g., attribution reporting).
  • Credit capital forecasts for the capital adequacy planning process.
  • Ownership (development and implementation) of the fair value modelling process, for financial reporting.

Required Skills and Abilities

  • Graduate degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., Engineering), or a Chartered Account with credit experience.
  • Business Acumen.
  • Industry trends.
  • Microsoft Office.
  • Principles of project management.
  • Relevant regulatory knowledge.
  • Relevant software and systems knowledge.
  • Risk management process and frameworks.
  • Business writing skills.
  • Microsoft Excel.
  • Strong analytical skills.
  • Committed and deadline-driven.
  • Aligned with Nedbank’s core values.
  • Aligned with GRA’s culture of collaboration, curiosity, resilience and creativity.
  • Resilient and flexible, with the ability to drive initiatives to conclusion.
  • Able to work independently and on own initiative.
  • Credit (e.g. risk, strategy, origination, pricing) knowledge.
  • More general analytical/quantitative skills.
  • Excellent communication and reporting skills (verbal and written).
  • Good programming skills (e.g. VBA, Matlab, SAS, R).
  • Self-starter with leadership capabilities.
  • Good emotional intelligence (EQ).
  • Strong people skills and stakeholder management.
Closed 8 months ago
Closed 8 months ago
  • Job type:Graduate Jobs
  • Disciplines:

    Actuary, Economics, Engineering, Mathematics, Statistics

  • Citizenships:

  • Locations:

    Johannesburg (South Africa)

  • Closing Date:9th Nov 2019, 6:00 pm


Enter an employer or university you want to find in our search bar.