Quantitative Risk Manager

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Quantitative Risk Manager

  • Post Date:March 23, 2021
  • Views 432
0 Applications
  • Career Level Manager
    Qualification Degree
    Experience 3-5 Years
Job Description

RESPONSIBILITIES:

  • Lead in the scoping, design, development, improvement and maintenance of quantitative risk models in the Bank, including IFRS 9 Expected Credit Loss models, credit risk models; Market, Liquidity and Interest Rate risk models; Value at Risk; Stress and back testing
  • Manage the development of models for analysis of capital, including Economic Capital, Internal Capital Adequacy and Assessment Process (ICAAP), Comprehensive Capital Analysis and Review (CCAR) as well as BASEL Framework.
  • Implement an effective modelling environment to promote and control the data quality, sound development, implementation and use of models.
  • Support the Bank’s business units with quantitative analysis and strategies in order to support decision-making in the core business, including pricing. Produce comprehensive reports on quantitative analysis for management and input to board reports
  • Establishment of a sound, effective and independent model validation process.
  • Put in place, safeguarding and upholding sound model and modelling governance.
  • Manage training of Staff users of quantitative risk models.

REQUIREMENTS:

  • A Degree in Mathematics, Financial Engineering, Risk, Finance, Statistics or equivalent.
  • Possession of a professional qualification in quantitative risk modelling, financial risk management or actuarial science an added advantage.
  • Advanced skills in Microsoft Excel computer application.
  • Relevant working experience in finance or risk department in a bank.
  • Capability to develop models for data analysis and quantification of risk.
  • Ability to carry out econometric modelling and forecasting.
  • Applicant should innovative around modelling and quantitative risk analysis.
  • Previous engagement in modelling or quantitative risk projects or assignments will be an added advantage
  • Clean Class 4 Driver’s License a must.

TO APPLY:

Send Updated CVs to [email protected] and to [email protected] with QUANTITATIVE RISK MANAGER as the subject of the email application by Friday 26 March 2021.

Only shortlisted candidates will be contacted