Quantitative Analyst - - Johannesburg

This is a fantastic opportunity to get broad exposure in BSM and have a birds eye view of risk types such as Credit Risk, Investment Credit, Capital Management and Market Risk.

You will be tasked with the following:

Implement various credit risk aggregation tools such as Economic Capital and Earnings at Risk for financial planning
Calculate aggregated credit risk exposure across the group
Provide strategic inputs to the credit risk model approval committee with a specific focus on investment and retail credit

Qualifications and Experience Required:

Honours degree in Finance, Financial Engineering, Maths, Stats, Actuarial Science or Investment/Risk Management
5 years experience in a banking environment with in-depth exposure in developing and maintaining credit risk models (PD, LGD, EAD) for retail or investment products
Working knowledge of Economic Capital Modelling

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