Quantitative Risk Consultant

Location: Johannesburg, Gauteng, South Africa
Date Posted: 28-10-2015
The role is to utilise his quantitative skills to develop & implement models &analytical solutions for our clients.The bulk of the work is typically within the banking & insurance industries & more specifically within the credit & operational risk domains,however the incumbent should be comfortable applying their quantitative skills to other industries & domains as & when the role requires.
The role includes the use of quantitative and qualitative analysis techniques and, depending on specific projects will most likely require familiarity with international accounting standards, Basel II capital requirements, credit risk modeling, operational risk scenario and loss data modeling, rating criteria and stress-test modeling, on-going monitoring of rating models, creation of reports and dashboards, and communication of findings to clients.

Duties and Responsibilities: 
•Development, implementation and optimisation of credit and operational risk models (Basel II regulatory capital models, impairments);
•Development and implementation of various quantitative models for clients in the banking and insurance industries;
•Credit risk and operational risk evaluation, including qualitative and quantitative approaches, as well as modeling, analytics, and forecasting;
•Data mining, scrubbing, cleaning, mapping and analysis using SAS, SQL or VBA skills;
•Compilation of model build and business requirement documentation;
•Creation of MIS dashboards; and
•Development and implementation of solutions to monitor the performance of existing models.


Qualifications and Experience:
•Completed Mathematical related Degree
•2 - 5 years quantitative analysis or modelling experience
•Competent in SAS, SQL or VBA
•Ideally a Credit or Operational Risk, risk background 
•Banking exposure preferable 

Knowledge:
•Building credit risk scorecards
•Basel II Regulatory credit and operational risk capital models 
•Building of fraud models
•Solvency II implementation
•Understanding of credit life cycle 
•Banking knowledge and exposure 

Competencies:
•Strong verbal and written communication skills
•Strong time management, organizational and planning skills; ability to multi-task effectively
•Strong creative solution and analytical skills
•Strong interpersonal skills; ability to partner with internal partners and leverage internal resources
•Leadership skills – strategic thinker, people management
•Flexible and open to change
•Deadline driven
•Solution orientated
•Ability to conduct presentations and training sessions
•Ability to adapt to different client environments, quickly learn new methodologies and practices
•Must be able to document methodologies and communicate and explain concepts clearly to stakeholders 
•Commitment to quality 
•Commitment to customer satisfaction
•Commitment to integrity, authenticity and organisational values
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