Senior Specialist: Quantitative Analyst

About the role

Absa is hiring a Senior Specialist: Quantitative Analyst in Sandton to design, build and maintain Treasury models supporting liquidity risk, interest rate risk in the banking book (IRRBB), funds transfer pricing (FTP), behavioural modelling and balance sheet forecasting. The role also covers cash-flow engines, scenario frameworks, back-testing and performance monitoring.

Key responsibilities

• Develop and maintain Treasury forecasting, optimisation and behavioural models for pricing, balance sheet planning, liquidity risk and interest rate risk analytics, including statistical cashflow and funding frameworks and deposit/lending behavioural models.
• Implement quantitative solutions to measure liquidity metrics, funding stability and interest rate sensitivity, and support regulatory measures through model development, data analysis and automation.
• Conduct stress testing and scenario modelling to assess the impact of market movements and balance sheet changes.
• Extract, transform and analyse large Treasury datasets, build documented code and automated pipelines, and improve existing tools through optimisation and better data validation.
• Produce technical documentation on model methodology, assumptions and limitations, assist with validation, benchmarking and audit queries, and work with ALM, Funding, Risk and Finance teams.

Required profile

• Bachelor's or Honours degree in Quantitative Analytics, Financial Engineering, Mathematics, Statistics, Actuarial Science, Computer/Data Science or a related discipline; Business, Commerce and Management Studies degrees are required.
• 3-5 years' experience in quantitative modelling, model development or Treasury/ALM in banking or financial services.
• Proven experience developing forecasting, optimisation or behavioural models, preferably for balance sheet management, liquidity or interest rate risk.
• Practical programming experience in Python and SAS, including production-ready analytical tools and automated data processes.

Required skills

• Statistical modelling and data science: forecasting, classification, optimisation, statistics and probability theory, data analysis.
• Proficiency in Python, SAS, R, MATLAB or similar, and familiarity with SQL is a plus.
• Strong communication skills to explain quantitative concepts to technical and non-technical stakeholders.
• Bonus: econometrics, knowledge of Basel III, IFRS 9 and stress testing frameworks, and understanding of financial markets and interest rate derivatives.