Senior Quantitative Manager

SUMMARY:

• To own the development, management, as well as the maintenance of best practice Rating, Pricing and Valuation models in line with regulations.
• To own the development, management, as well as the maintenance of best practice Expected Credit Loss / Impairment models in line with International Standards.

 

POSITION INFO:

• To own the development, management, as well as the maintenance of best practice Rating, Pricing and Valuation models in line with regulations.
• To own the development, management, as well as the maintenance of best practice Expected Credit Loss / Impairment models in line with International Standards.

 

QUALIFICATIONS:

• Post-graduate qualifications in a Quantitative discipline such as Mathematics, Statistics, Econometrics (Masters and/or Hons degree).
• Professional certifications such as CFA, FRM, PRMIA-PRM, or equivalent are highly advantageous.

KNOWLEDGE AND EXPERIENCE:

• 8 - 10 years’ work experience in risk modelling or a similar role in a Financial Institution.
• Excellent programming skills in SQL/SAS/Python and a thorough understanding and application of Microsoft suite of products (such as Excel etc.)
• Knowledge and understanding of portfolio credit risk management.
• Knowledge of Model building and interpretation to minimise risk and/or maximise development returns/revenue.
• Exceptional leadership capabilities, with a proven track record of playing a leadership role in high-performing teams.
• Strong stakeholder management skills, with the ability to influence and collaborate across all levels of the organisation.
• Excellent communication and presentation skills, capable of translating complex risk findings into actionable insights.
• Ability to anticipate and manage emerging risks in a dynamic financial landscape.
• Integrity and ethical decision-making.

 

 

 

 

• Developing a range of quantitative Rating and Pricing models including, among others, Probability of Default (PD), Loss Given Default (LGD) and Exposure to Default (EAD).
• Development of differentiated, superior solutions (solutions engineering) that meet stakeholder and business requirements.
• Lead in the Validation of the performance of existing quantitative risk models and recommend changes.
• Service and interact with internal and external stakeholders.
• Participate in and influence Portfolio Reporting from a Quantitative perspective.
• Provide training to end users on both model usage and comprehensive understanding
• Management and maintenance of the IFRS 9 ECL model.
• Champion the application of model innovation, research of new approaches and challenge existing methodologies.
• Participate in preparing specifications, preparing for and executing testing, implementation, and documentation, data validation of models.
• Develop an understanding of data and make recommendations to resolve data integrity issues.
• Research into best practices regarding the development, maintenance, and use of statistical and behavioral scorecards.
• Use understanding of regulatory framework (incl. Capital framework / Basel III/IV) to inform business strategy and decisions (capital allocation);
• Monthly / Quarterly portfolio reporting to appropriate Executive Committees and Board Sub-Committees.

TECHNICAL/FUNCTIONAL COMPETENCIES

• Problem Solving
• Business Acumen
• Ability to translate complex data outputs into clear and understandable insights for use by business users
• Report writing Skills
• Strong attention to detail and data validity
• Project Management Skills
• Ability to quickly understand changing market trends and incorporate information into model inputs
• Appropriate inclusion of data within the model.
• Strong Analytical Skills
• Planning and Organizing

BEHAVIOURAL COMPETENCIES

• Good Communication Skills
• Self-motivated and self-driven skills
• Coping with Pressures and Setbacks
• Negotiating and influencing
• Interpersonal Skills