Job Description

Join a high-performing team focused on Credit Risk Quantification within our Balance Sheet Management function. As part of the Quantitative Analytics and Liquidity Risk Management team, you'll contribute to developing sophisticated models and solutions that drive effective credit risk management, supporting the banks credit portfolio across a diverse range of clients and sectors.Key Responsibilities:

• Develop and implement credit risk models to measure Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) across various portfolios.
• Design quantitative tools for stress testing and scenario analysis on the credit portfolio, ensuring accurate risk assessment.
• Lead efforts in automation of credit risk measurement and reporting processes using programming tools like Python, SQL, and Visual Basic.
• Perform credit risk analysis on large, complex transactions, providing insights into risk exposure and mitigation strategies.
• Engage with internal stakeholders to develop and maintain risk policies, ensuring compliance with regulatory standards and internal governance.
• Monitor credit risk metrics, identify potential portfolio risks, and escalate issues to senior management when necessary.
• Validate and review the performance of existing credit risk models, ensuring they comply with best practices and regulatory guidelines.

Requirements:

• PhD, Masters, or Honours Degree in a quantitative discipline (Finance, Mathematics, Statistics, etc.).
• 5-10 years of experience in credit risk modeling and quantitative finance.
• Proficiency in financial mathematics, credit risk analysis, and programming (Python, SQL, Visual Basic).
• Strong understanding of credit portfolio management, credit risk metrics, and regulatory frameworks (e.g., Basel III).

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If you havent heard back within two weeks, please consider your application unsuccessful. However, we'll keep your profile on file for future opportunities that match your expertise.For more details, reach out to:
Crushen Pietersen
Recruitment Consultant

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