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Quantitative Risk Manager
- Post Date:March 23, 2021
- Views 432
- Career Level ManagerQualification DegreeExperience 3-5 Years
- 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.
- 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.
Only shortlisted candidates will be contacted