Job Description

Job Overview

Business Segment:

Group Functions

Location:

ZA, GP, Johannesburg, Baker Street 30

Job Type:

Full-time

Job Ref ID:

80369709A-0001

Date Posted:

2/18/2025







Quantitative Analyst will be required to validate mathematical and statistical models used within Global Markets (Trading), Market Risk and Counterparty Credit Risk for the Standard Bank Group. The purpose of this job is to ensure that the validation requirements for Exotic and Structured Derivatives, Credit Derivatives, and models used in Valuation Adjustments (xVA including CVA, DVA, FVA, FCA, FBA, KVA, etc.) within SBSA and related entities in SBG are met. Below are some key responsibilities,



Perform initial and ongoing validation of internally and externally developed Market Risk and Trading models, with a focus on the validation of xVA models. This requires a detailed understanding of the theoretical components of the model, the model specification and related data requirements; research and development of independent/challenger model to use as the reference model; collating validation results in a technical report; and making conclusions on the validation outcome of the model being assessed.

Interact with Model Development, Risk Management and Business to obtain additional clarity on the models that are being validated. As part of the validation process, agreement on actions to be taken by Model Development to remediate validation recommendations must be reached, which may result in rebuild/redevelop/amendment of methodology by model development.

Perform model validation tasks according to the team's operating standards. This involves preparation (reviewing model development documentation); performing the validation according to model validation policy and procedures; writing up a validation report and allowing for review/challenge; and presenting the validation at model approval/technical committees.

Qualifications

Post Graduate Degree Mathematical Sciences - Financial Mathematics or Quantitative Risk Management

PhD / MSc Mathematical Sciences - Financial Mathematics or Quantitative Risk Management



Experience Required



Must Have 5 - 7 year's experience Quantitative Analyst role in a bank's risk management, model development or model validation function in Global Markets with xVA (CVA, DVA, FVA, FCA, FBA, KVA, etc.) experience

The candidate must demonstrate ability to develop mathematical models. Highly complex mathematical problems need to be solved in this role. In most cases very little guidance is provided as to what is required and what the market standard is. In all cases the candidate would need to perform additional research and engage with internal stakeholders to determine the appropriateness of a particular model.

Coding experience - Python or similar

Quant-related people and/or project managerial experience

Additional Information

Behavioural Competencies:

Adopting Practical Approaches

Articulating Information

Challenging Ideas

Checking Things

Examining Information

Exploring Possibilities

Interacting with People

Interpreting Data

Producing Output

Providing Insights

Taking Action

Team Working

Technical Competencies:

Data Analysis

Data Integrity

Documenting

Knowledge Classification

Statistical & Mathematical Analysis

Please note:

All our recruitment processes comply with the applicable local laws and regulations. We will never ask for money or any from of payment as part of our recruitment process. If you experience this, please contact our Fraud line on +27 800222050 or TransactionFraudOpsSA@standardbank.co.za