Posted on: 25 March 2023
ID 855422

Quantitative Risk Analyst

Who are we?

Sanlam Specialised Finance (SanFin) is responsible for creation of shared value for Sanlam, its shareholders, policy holders, and societies with in which it operates by managing financial risk, developing financial products, and balance sheet optimisation, pursuing investments and financing opportunities in assets, sectors, markets, organisations, and geographies that enable maximum return within acceptable risk parameters.

What will you do?

Responsible for determining prices of new derivative products and identifying schemes for managing risk on such products. Builds pricing models for trading systems. Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes. Ensures that all risks in trading book products are correctly valued. May be involved in identifying profitable trading opportunities.

What will make you successful in this role?
  • Report and monitor daily risk across a combination of business units. This includes but is not limited to:
Market Risk

Credit Risk

Liquidity Risk

Funding Risk
  • Follow up on limit breaches and obtain explanations from the front office teams.
  • Error and exception monitoring and follow-up.
  • Assist with the production of management reports (fortnightly, monthly, and quarterly).
  • Assist with quantitative modelling / projects etc
  • Build valuation and sensitivity models from first principles
  • Handle ad-hoc requests such as:
risk related queries

recons of information between the various systems

data collation from different data sources (e.g., Bloomberg, Murex, etc.); and

assist with providing business information as and when needed.

Qualification And Experience

MSc (Maths, Physics, Engineering) Degree with 3 to 6 years related experience

Knowledge And Skills

Risk analysis and management

Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes.

Ensures that all risks in trading book products are correctly valued.

Pricing Analysis/Modeling

Product Risk Mgmt

Personal Attributes

Business insight - Contributing through others

Manages complexity - Contributing through others

Financial acumen - Contributing through others

Balances stakeholders - Contributing through others

Build a successful career with us

Were all about building strong, lasting relationships with our employees. We know that you have hopes for your future your career, your personal development and of achieving great things. We pride ourselves in helping our employees to realise their worth. Through its four business clusters Sanlam Life and Savings, Sanlam Investment Group, Sanlam Emerging Markets, Santam, as well as MiWay and the Group Office the group provides many opportunities for growth and development.

Core Competencies

Being resilient - Contributing through others

Collaborates - Contributing through others

Cultivates innovation - Contributing through others

Customer focus - Contributing through others

Drives results - Contributing through others

Turnaround time

The shortlisting process will only start once the application due date has been reached. The time taken to complete this process will depend on how far you progress and the availability of managers.

Our commitment to transformation

The Sanlam Group is committed to achieving transformation and embraces diversity. This commitment is what drives us to achieve a diverse, inclusive and equitable workplace as we believe that these are key components to ensuring a thriving and sustainable business in South Africa. The Group's Employment Equity plan and targets will be considered as part of the selection process.
Occupation:
Finance jobs


This job offer is not active at the moment.
Apply for a job
You have already applied to this job position
Save ad
Mine Jobs-kuruman Black Rock
Jobin.co.za
MAINTENANCE Jobs-0731732853

MAINTENANCE Jobs-0731732853

Black Rock Mine
Kuruman
Jobin.co.za
Black Rock Mine Jobs-0731732853

Black Rock Mine Jobs-0731732853

BLACK ROCK MINE
Kuruman
Jobin.co.za
TWO RIVERS PLATINUM MINE JOBS AVAILABLE

TWO RIVERS PLATINUM MINE JOBS AVAILABLE

TWO RIVERS PLATINUM MINE
STEELPOORT
Jobin.co.za
Dihlabeng hospital jobs available

Dihlabeng hospital jobs available

Dihlabeng hospital
Bethlehem
BAKUBUNG PLATINUM MINE JOBS AVAILABLE

BAKUBUNG PLATINUM MINE JOBS AVAILABLE

BAKUBUNG PLATINUM MINE
Rustenburg
Transnet Bakkies Truck Contract 078 203 6974

Transnet Bakkies Truck Contract 078 203 6974

Transnet
Pretoria / Tshwane
Jobin.co.za