Senior Analyst, Quantitative (Trading)

Company Description

Standard Bank Group is a leading Africa-focused financial services group, and an innovative player on the global stage, that offers a variety of career-enhancing opportunities – plus the chance to work alongside some of the sector’s most talented, motivated professionals. Our clients range from individuals, to businesses of all sizes, high net worth families and large multinational corporates and institutions. We’re passionate about creating growth in Africa. Bringing true, meaningful value to our clients and the communities we serve and creating a real sense of purpose for you.

Job Description

Quantitative Analyst will be required to validate mathematical and statistical models used within Global Markets (Trading), Market Risk and Counterparty Credit Risk for the Standard Bank Group. The purpose of this job is to ensure that the validation requirements for Exotic and Structured Derivatives, Credit Derivatives, and models used in Valuation Adjustments (xVA including CVA, DVA, FVA, FCA, FBA, KVA, etc.) within SBSA and related entities in SBG are met. Below are some key responsibilities,

• Perform initial and ongoing validation of internally and externally developed Market Risk and Trading models, with a focus on the validation of xVA models. This requires a detailed understanding of the theoretical components of the model, the model specification and related data requirements; research and development of independent/challenger model to use as the reference model; collating validation results in a technical report; and making conclusions on the validation outcome of the model being assessed.
• Interact with Model Development, Risk Management and Business to obtain additional clarity on the models that are being validated. As part of the validation process, agreement on actions to be taken by Model Development to remediate validation recommendations must be reached, which may result in rebuild/redevelop/amendment of methodology by model development.
• Perform model validation tasks according to the team’s operating standards. This involves preparation (reviewing model development documentation); performing the validation according to model validation policy and procedures; writing up a validation report and allowing for review/challenge; and presenting the validation at model approval/technical committees.

Qualifications

• Post Graduate Degree Mathematical Sciences – Financial Mathematics or Quantitative Risk Management
• PhD / MSc Mathematical Sciences – Financial Mathematics or Quantitative Risk Management

Experience Required

• Must Have 5 – 7 year's experience Quantitative Analyst role in a bank’s risk management, model development or model validation function in Global Markets with xVA (CVA, DVA, FVA, FCA, FBA, KVA, etc.) experience
• The candidate must demonstrate ability to develop mathematical models. Highly complex mathematical problems need to be solved in this role. In most cases very little guidance is provided as to what is required and what the market standard is. In all cases the candidate would need to perform additional research and engage with internal stakeholders to determine the appropriateness of a particular model.
• Coding experience – Python or similar
• Quant-related people and/or project managerial experience

Additional Information

Behavioural Competencies:

• Adopting Practical Approaches
• Articulating Information
• Challenging Ideas
• Checking Things
• Examining Information
• Exploring Possibilities
• Interacting with People
• Interpreting Data
• Producing Output
• Providing Insights
• Taking Action
• Team Working

Technical Competencies:

• Data Analysis
• Data Integrity
• Documenting
• Knowledge Classification
• Statistical & Mathematical Analysis