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Pricing and Capital Analyst

Location Johannesburg, South Africa
Posted 09-January-2019
Pricing and Capital Analyst
Quantitative Analyst

Are you someone who has experience with various model building techniques and pricing in the credit risk space? Then, I am pretty sure our client is looking for someone like you, to join their team to minimise risk and maximise revenue across Product Lending Houses! Keep reading to find out more!

Implementing annual model validation of the Probability of Default (PD) model for the specialised lending and vanilla home loan books Monitoring of the PD models according to SARB requirements Pricing specialised lending and home loan deals in a way that is best reflective of the business costs, risk and profitability Implementing annual re-calibration and re-grounding of the Pricing Model Interpreting and implementing the groups Fund Transfer Pricing (FTP) methodology for pricing purposes Conducting regional visit to educate/inform bankers and lenders about pricing strategies and the importance of risk-based pricing Day-to-day maintenance of the Pricing Model and model parameter updates as and when necessary Effective Capital Management including Economic Capital reporting and forecasting Performing relevant scenario analysis on capital requirements for inclusion in Group ICAAP document
BSc Mathematical Statistics or similar Min 3 years of experience Banking experience required SAS Base, SAS Enterprise Guide, STATA, R, VBA, Advanced Excel Scorecard Model Validation, Credit Risk Reporting, Risk Appetite Target Setting Regression, Back testing, GINI coefficients, Matched-maturity Fund Transfer Pricing Time Series Analysis, Linear Interpolation, Monte Carlo Simulation

Along with this amazing opportunity to reach the NEXT level your career, is a market related salary and other amazing benefits.

If you are interested in reaching your full potential, please send your professional profile (CV / Life Story) to [Email Disabled] with the reference number and role as the subject Quantitative Analyst: Pricing and Capital EV1129

Then, if you know someone awesome who would be interested, you can refer them to us. If we successfully assist in making their life better by placing them, you will get a referral reward for being an awesome friend!

We dont just place people; we help you reach the NEXT level!

If you dont hear anything from us in roughly two weeks, we unfortunately are not able to assist right now.

Awards & Accolades for MyTechLogy
Winner of
Top 100 Asia
Finalist at SiTF Awards 2014 under the category Best Social & Community Product
Finalist at HR Vendor of the Year 2015 Awards under the category Best Learning Management System
Finalist at HR Vendor of the Year 2015 Awards under the category Best Talent Management Software
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