Senior Quantitative Analyst

Job Title Senior Quantitative Analyst
Location Pinelands,ZA
Organization Name GF – Credit Risk
Brief Description
A senior quantitative analyst at Old Mutual Limited (OML), in second line credit function, with the primary responsibility for credit model validation for South African and other African businesses, with special focus on retail lending. The role reports into the second line Head of Quantitative Credit. The primary role also includes vice-chairing credit model risk technical committee, performing regular credit model inventory maintenance, relationship management with relevant stakeholders, embedment of the oversight and validation processes into the subsidiaries, and assistance to the second line Head of Quantitative Credit in supporting Head of Retail Lending and Head of Investment Credit with the oversight, scrutiny and challenge of subsidiaries’ retail credit metrics, performance indicators and practices.

Secondary responsibilities include quantitative support to the second line Head of Quantitative Credit in building the quantitative credit capability, including model risk management, reporting and analytics, portfolio monitoring, early warning signs identification, stress testing and other quantitative topics.

 

The role requires some travel within Africa

KRA’s
Primary responsibilities:

·         Model validation:

o    New model validations, annual model reviews, and change reviews of the credit models.

o    The types of models include PD, LGD, application, behavioral, pricing, IFRS9, regulatory capital, and economic capital models.

o    Product types in scope will include mostly unsecured loans, community lending, payroll based employee lending, home loans, and possibly some specialized lending and project finance type deals.

·         Vendor management and quality assurance: participation in vendor selection, control of the validation process, and quality control of the validation findings.

·         Governance:

o    Assistance with the process of model validation and approvals, coordination of the documentation submission, review of validation findings, scheduling and running of the model risk technical committee meetings, presentation of the validation findings to the committee, presentation of the committee’s recommendation to the management credit risk committee.

o    Maintenance of the model inventory.

o    Development of the model validation schedule.

o    Embedment of the model validation and approval processes into the subsidiaries.

o    Input into relevant frameworks, policies, standards and templates developments, reviews and updates

·         Quantitative support to the Head of Quantitative Credit with a range of quantitative topics, from strategic to operational.

Secondary responsibilities:

 

While the primary responsibilities focus on credit model validation, secondary responsibilities are included to provide variability and personal growth opportunities to the candidate, and to develop a cross-functional team that is not key person dependent.

·         Building data, reporting and analytics capability:

o    Assistance with business analysis, conceptual and logical data design, requirements specification, enquiries and analytics development

·         Data, reporting and analytics operational support:

o    Assistance in the management of the quarterly reporting cycle, including data requests from the data providers, data quality assurance, data maintenance, data clean-up, data loads, report generation, data reconciliations, data supplementation.

o    Ad-hock data investigations and analytics

·         Stress testing: Assistance with the operational use of Oxford Economics stress testing model

·         Support to the Head of Quantitative Credit with a range of data, business analysis and IT development topics, from strategic to operational.

Job Requirements
  • At a minimum, an honors degree in applied mathematics, statistics, quantitative risk management, financial mathematics, and pure science, data mining or other related field.
  • A postgraduate or second qualification in economics, accounting, finance or business will be advantageous.
  • At least 5 years’ experience in a banking environment, preferably retail lending.
  • At least 3 years’ experience in model validation, with solid exposure to retail lending model validation.
  • Additional experience in IT, data warehousing, business analysis, retail credit operations or credit management will be advantageous.
  • Previous employment with a consultancy or more than one financial institution will be highly advantageous.
  • Technical (mathematical, statistical, financial, accounting, programming, data), analytical, critical thinking, conceptual thinking, problem solving, people, and communication skills
Additional Details
Competencies

  • Leading with Influence
  • Innovation (Perspective)
  • Execution
  • Customer First
  • Personal Mastery (Learning)
  • Collaboration (Relating)

Personality Traits

  • Self-awareness, strong work ethics, passion for justice, empathy with the client, confidence, assertiveness, ability to work independently and as part of the team, high stress tolerance, patience, perseverance, ability to treat others with respect.
Currency ZAR
Amount of Travel
Work At Home