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Senior Quantitative Analyst
Bayport Financial Services
Job Type
Full Time
Location
South Africa
Description :
EDUCATION
MINIMUM QUALIFICATIONS
• A Minimum of Honours BSc Degree Applied Mathematics/Statistics/Financial Mathematics or any other analytical degree equivalent.
• A good academic track record
DESIRED/ PREFERRED REQUIREMENTS
• A MSc/PhD Degree in an analytical degree or equivalent is preferred
• Good understanding of credit regulations and risk management
EXPERIENCE AND KNOWLEDGE
MINIMUM REQUIREMENTS
• At least four years’ experience in IFRS9 model building
• Must have experience with SAS, SQL and excel
INDUSTRY EXPERIENCE
• Must have previous experience in the developing statistical models on various retail portfolios. This includes IFRS 9 expected loss models, impairment LGD and PD models for all retail portfolios, origination scorecards, fraud scorecards, collection scorecards, behaviour risk models and other risk management models for the retail portfolio
• Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD, as well as overall impairment calculations
• Strong programming skills are required using SAS, SQL, VBA and MS Excel
• Must be able to utilise techniques such as survival analysis, proportional hazards, and macroeconomic regression modelling
• Strong mathematical and statistical skills
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