Sandton: Analyst: Quantitative Risk Modelling & Validation

Responsible for supporting quantitative analysis, balance sheet modelling efforts, and Funds Transfer Pricing (FTP) processes within the department. This role involves data analysis, model development, model validation, share price forecasting and back-testing of models, and monitoring of various quantitative risk models used for liquidity and market risk assessment and FTP. The Junior Analyst will work in a collaborative environment that encourages learning and professional growth, interacting with experienced professionals in the fields of risk management and finance. This position offers an excellent foundation for a career in quantitative risk, modelling, and FTP, with opportunities for advancement and skill development within the corporation. • Assist in the development of quantitative risk models used for market risk measurement, including Value at Risk (VaR), stress testing, scenario analysis, and FTP models. • Participate in the validation process of quantitative models, ensuring accuracy, reliability, and compliance with regulatory requirements. • Collect, clean, and analyse financial data from various sources to support modelling activities and FTP calculations. • Conduct statistical analyses to identify trends, patterns, and anomalies in financial data, particularly focusing on interest rate risk and funding costs. • Collaborate with senior managers to implement and enhance risk models and FTP methodologies, ensuring they are robust and aligned with industry standards. • Support in analysis to support decision making on Equity Price risk management. • Perform the calculation of the monthly Share Price forecasting for use in the strategic balance sheet modelling process. • Support the calculation and implementation of FTP rates to accurately reflect the cost of funds and the credit risk associated with various business units. • Assist in analysing the impact of FTP on overall profitability and performance metrics, providing insights to enhance decision-making. • Conduct back testing of models to assess predictive performance and recalibrate models as necessary, including FTP models. • Prepare detailed reports and presentations summarising quantitative analyses, model outcomes, FTP rates, and associated risks for ALCO Technical, ALCO and other stakeholders. • Assist with ALCO process coordination. • Participate in ALCO meetings including preparing and presenting ad-hoc reports as needed for the committee. • Assist the Share Price Forecasting sub-committee with coordination and minute taking, if required. • Preparation of monthly and quarterly risk reports and presentations for ALCO Technical and/or ALCO. • Assist in communicating complex quantitative concepts, including FTP implications, to non-technical audiences. • Work closely with cross-functional teams, including strategic business units, finance, risk management, and treasury, to ensure effective model implementation, FTP integration, and overall risk management practices. • Support the development and improvement of internal processes related to quantitative analysis, risk management, and FTP. • Stay updated on the latest industry trends, regulatory developments, and best practices in quantitative risk, modelling, and FTP. • Engage in ongoing professional development to enhance technical skills and knowledge in quantitative finance and risk management. • Bachelor’s degree Actuarial Science, Mathematics, Statistics, Finance, Econometrics, Quantitative Risk or a related field. • 4-6 years of experience in ALM, Financial Risk Management or Treasury • Proficiency in statistical software and programming languages (e.g., R, Python, or similar). • Basic understanding of financial markets, instruments, risk management concepts, and Funds Transfer Pricing mechanisms. • Good understanding of asset-liability management, gained through hands-on experience or ALM training attendance • Experience with quantitative modelling and validation in a financial services environment. • Familiarity with best practice frameworks related to market risk and FTP methodologies. • Knowledge of data analysis tools and techniques.