Senior Quantitative Analyst

About the role

The Senior Quantitative Analyst will improve and sustain the models used for calculating Credit RWA and IFRS9 impairments within retail portfolios. This position is part of a dedicated credit risk team focused on delivering accurate capital and impairment analytics.

Key responsibilities

• Provide management information, analysis and reporting on monthly capital and impairment outcomes.
• Update EAD, PD and LGD models for Basel and IFRS9 objectives.
• Conduct analytics related to IFRS9 impairments.
• Perform analytics concerning Credit Capital, including RWA attribution development, ECAP versus RWA analysis and ECAP optimisation.
• Maintain up‑to‑date knowledge of advancements in the field and share insights with team members.
• Deliver services that meet internal client expectations and cultivate relationships with internal and external stakeholders.

Required profile

• Matric / Grade 12 / National Senior Certificate and an advanced diploma or first degree.
• A three‑year qualification in a mathematics‑related field such as BSc, Engineering, CFA, FRM or CQF.
• Minimum of five years of relevant experience in an analytical environment, preferably with model development for capital or impairments.
• Strong understanding of regulatory frameworks and risk management processes.

Required skills

• Microsoft Office
• Microsoft Excel
• Proficiency with relevant modelling software and systems
• Quantitative analytical skills