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South Africa

Senior Quantitative Analyst

Company Bayport Financial Services
Reference # BAY004
Published 20/11/2020
Contract Type Permanent
Salary Market Related
Location Sandton, Gauteng, South Africa
Introduction
The Senior Quantitative Analyst is responsible for developing, implementing, monitoring, and supporting quantitative credit models within the Credit Management department with a focus on IFRS9 modelling.
Job Functions Analysis,Analytics,Business Analyst,Business Development,Compliance & Regulatory Affairs,Coordinator,Data Analysis,Data Capturing,Data Management,Monitoring & Evaluation,Operations,Product Management,Project Management,Purchasing,Risk Analysis,Risk Management,Strategic Communication,Strategy
Industries Financial Services
Specification
KEY PERFORMANCE AREAS (KPAS)/ KEY RESPONSIBILITIES

1. STRATEGIC INITIATIVES

Engages in Credit rules implementation
• Engage with IT, Collections and Sales departments regarding credit rule changes.
• Play a lead role in designing and implementing the credit rules integrated in the production environment.
• Proposes and implements calculated risks models based on data-driven analytics.

2. OPERATIONAL

Implements, credit and modelling standards
• Building of credit risk models across classes (PD, LGD, EAD, ECL) under IFRS 9
• Credit risk scorecard modelling, monitoring and evaluation
• Credit impairment assessment and due diligence reviews
• Design and review of risk governance of credit models
• Designing metrics that support business credit decisions
• Development of thought leadership material on relevant industry topics

Oversees analysis
• Monitors industry activities and trends and recommends changes to credit and business development strategies.
• Gathers and analyses customer insight
• Researches and stays abreast of best practice, credit scoring, and model development practices.

3. STAKEHOLDER ENGAGEMENT

Able to effectively communicate at various levels
• Likely to engage often with the following individuals/ groups:
• Executives
• Departmental Heads
• Credit Committee
• Internal staff
• Customers
• Other key external stakeholders like the credit bureaus and regulatory boards

TECHNICAL COMPETENCIES

Statistical Modelling
Developing statistical models on various retail portfolios

SAS, SQL, MS Excel Programming
Strong programming skills are required using SAS, SQL, VBA and MS Excel

Credit Risk
Must be competent with 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

IFRS9 Modelling
Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD, as well as overall impairment calculations

LEADERSHIP COMPETENCIES

Change Leadership
The knowledge and skills required to develop, implement and manage a change management framework and process.

Team Management
The ability to manage and lead a team. All the knowledge and skill required to catalyse and drive a team of individuals towards the same goal and achieve it.

HR for Line
Demonstrate knowledge of HR policies and procedures as well as the HR role of line managers.

Strategic Thinking
Demonstrate the ability to generate and apply unique business insights and opportunities intended to create a proactive, innovative and creative discourse/dialogues.

Strategic Leadership
Demonstrate the ability to offer direction and team leadership to allocated teams and display the required exemplary levels of leadership required. Possess and exhibit the required behaviour, knowledge and understanding of the values and principles that drive leadership as a practice.

Coaching and Mentoring
Demonstrate the ability to provide direct coaching and/or mentoring and/or support to assigned individuals. The outcome is to influence the individual to perform better and improve across all aspects of their life.

BEHAVIOURAL COMPETENCIES

Accuracy/Attention to detail
The ability to calculate and complete any and all work at an acceptable level of accuracy. Be able to consistently pay attention to the detail of the work completed.

Communication Skills
The ability to converse with others. This can be done via the spoken or written word. The ability to identify and appropriately react to voice modulation, tempo and emotion. Body language also plays a critical role in face-to-face communication.

Creativity
Demonstrate the ability to conceptualise new and innovative ideas that can be put into practice. Also includes the act of creating something new.

Foresight
Demonstrate the ability to predetermine the future based upon past experience and reasonable expectations.

Relationship management
Demonstrate the ability to maintain and mine stakeholder relationships. Ensure that the relationship is mutually beneficial. In addition, the relationship is maintained over the required period of time

Interpersonal Skills
The ability to interact and socialise on a personal level with those we come into contact with.

Requirements
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

Job Closing Date 25/11/2020
   
   
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Last Updated: 30-7-2020 [20.07.03.04]
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