Quantitative Analyst Specialist

About the role

Absa is looking for a Specialist: Quantitative Analyst in Johannesburg to give specialist advice and support in developing and implementing quantitative analytics, planning and related service delivery processes, methods and techniques. The role enables sound product development expertise.

Key responsibilities

• Develop IFRS9 and/or regulatory capital models in-house using sound methodologies and statistical analysis, and refresh existing models
• Update models to reflect the latest forecasted macro-economic factors and communicate the impact
• Test model build data quality, complete statistical analysis and produce detailed model build documentation
• Assist the model implementation team with technical questions and testing against documented models
• Ensure full governance compliance with the Absa Model Risk Policy, including responding to independent review questions and reporting impact analyses
• Engage stakeholders (users, validation and monitoring teams, regulators) by email, group meetings and one-on-one discussions, present the impact of model updates and manage stakeholder expectations
• Share model insights and perform analysis to understand impacts and changes
• Familiarise yourself with Absa's Model Risk Governance requirements and the regulations governing model methodologies, and ensure adherence to them

Required profile

• Bachelor Honours degree in Actuarial Science, Applied Mathematics, Business Management and Informatics, Mathematics or Statistics
• 1 to 5 years of experience
• Proficiency in SAS programming