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.