Quantitative Analyst - Counterparty Credit Risk (DCEM)

About the role

Absa is hiring a Quantitative Analyst for its Counterparty Credit Risk function in Sandton. The role provides independent analysis and oversight of counterparty credit exposure across derivative portfolios, focusing on Potential Future Exposure (PFE), mark-to-market (MTM), margin and limit utilisation. It works closely with Front Office, Credit Risk, Quantitative Risk, Finance and Technology teams.

Key responsibilities

• Analyse and explain PFE, MTM and related exposure measures for OTC derivatives, securities financing transactions and structured products, and support pre-deal calculations, limit setting and limit-utilisation queries.
• Assess drivers of counterparty exposure at trade, netting-set and portfolio level, including collateral, margining and legal agreements.
• Monitor exposure and limit exceptions, investigate material movements and ensure timely escalation and resolution.
• Collaborate on model calibration, validation and back-testing, and run sensitivity, stress and scenario analysis.
• Produce portfolio analytics, including concentration, sector and wrong-way risk views, and support stakeholder training.
• Ensure data quality through controls, reconciliations and escalations, and assist with user acceptance testing of Sigma releases.
• Provide business requirements to Technology teams and help maintain the risk system framework (Sigma, QlikView, ETL).
• Identify opportunities to automate reporting and manual overrides, document controls and model changes, and prepare regular and ad hoc reports for management, governance and regulators.

Required profile

• Bachelor's degree or advanced diploma in Risk Management, Financial Risk Management, Mathematics, Statistics, Economics or a related quantitative discipline.
• One to three years of relevant experience in counterparty credit risk, derivatives or quantitative risk.
• Working knowledge of financial markets, derivative products and exposure measurement.
• FRM or CA(SA) is advantageous; exposure to SA-CCR and margin requirements is also advantageous.

Required skills

• Advanced Excel; Power BI, Python, SQL or other analytics tools are advantageous.
• Experience with risk systems, data visualisation tools and data-processing workflows; Sigma and QlikView exposure is advantageous.
• Knowledge of model governance, validation, back-testing, stress testing and data-quality control.