Senior Quantitative Risk Analyst - Johannesburg Verfied

Salary Negotiable Johannesburg, Gauteng Johannesburg, Gauteng more than 14 days ago 04-03-2018 7:26:42 PM
29-04-2018 7:26:42 PM
Senior Quantitative Risk Analyst
• Building, providing, testing and maintenance of quantitative valuation and risk models. These may include
o Data models
o Vanilla and exotic derivative pricing and sensitivity models
o Models for structured equity and debt finance deals
o Models for calculating various stress scenarios
• Assist systems support team with configuration of the trading system (Murex) for the above models
• Providing, monitoring and analysing market and credit risk numbers as well as economic capital usage
• Recommendations with regards to risk levels as well as possible hedging solution for certain business units
• Handling of ad hoc requests/queries regarding
• Mathematical models / calculations
• Risk exposures

• System-specific knowledge:
o Murex
o Moody’s analytic systems (Credit edge, Risk Calc, Risk frontier, Risk analyst)
o Fincad (F3)
o Bloomberg
o MS SQL
o VBA programming
• Knowledge of:
Basel


o B Sc (Hons) with Mathematical / Statistical subjects.
• 4 – 6 years’ experience in a similar role.

TECHNICAL COMPETENCIES:
• Computer literate with proven proficiency in MS Office (Excel and Word)
• Thorough financial instrument knowledge (especially regarding market risk, credit risk).
• Strong communication skills (verbal and written.)
• Ability to use plain language to explain technically complicated subjects.
• Broad-based risk knowledge in all major risk disciplines (excluding legal and financial credit analysis).
• Understand:
o derivatives (including credit, interest rate and equity market based); and
o Financial and capital markets (practical understanding).
Ability to take broadly related information and combine it into the bigger picture.
tba

Recruiter: Rooftop