One of our Leading Audit Clients in Johannesburg is currently looking for a Risk Analytics Quantitative Valuation Manager to join their dynamic and fast-growing team.

Requirements:

• 5 Years’ (for Manager and Senior Manager), including advisory services or project management, and familiarity with principles of stochastic calculus and derivative option pricing
• Advanced degree in quantitative finance, engineering, mathematics, or statistics from an accredited college/university
• Ability to computer program Monte Carlo simulations and binomial tree methodology in one two programming language or application
• Strong communication and presentation skills

Responsibilities:

• Complete quantitative financial risk management engagements related to but not limited to foreign exchange, interest rate, credit, commodity risks, and related controls
• Assist audit teams by pricing exotic derivatives including but not limited to barrier options, callable bonds, Cross Currency Swaps, Total Return Swaps and Path-dependent options
• Review, validate, and develop derivative pricing, Value-at-Risk, and dynamic financial analysis models
• Demonstrate high level of understanding of capital markets processes, including trading, limits, risk management, credit, settlement, and operations
• Serve as subject matter professional in a product area, quantitative risk management, or exotic derivative modeling
• Lead staff in advisory engagements and audit assist assignments