Quantitative Analyst

Description

• The Quantitative Analyst is responsible for measuring, analysis, monitoring and identification of market and credit risk as it pertains in the business environment through the production of sensitivity, simulation, stress testing, scenario analyses and modelling
• Additional focus areas include trend analysis on various scopes, and the measurement and monitoring of concentration risk and risk appetite
• Other responsibilities include responding to queries involving management information reports (internal and external)
• These include, but are not limited to, workflow automation, credit department reports and measurements, corporate department automations and warning triggers
• (SP8)

Duties

• Adequacy of Framework:
• Introduce and maintain effective model risk management which must encompass governance and control mechanisms such as appropriate oversight, policies and procedures, controls and compliance
• This includes the following policies and procedures:
•     Model Guideline ( Model governance guideline and Validation Guideline)
•     Stress Testing Policy
•     Model Validation Committee Terms of Reference
• Implement an effective modelling environment to promote and control the data quality, sound development, implementation and use of models as well as the validation and testing of such models
• This includes following the guidelines set out in the above policies as well as presenting models at the Validation Committee for review, discussion and validation
• Assist in the establishment of a sound, effective and independent model validation process which will evaluate model performance, degree of complying with design objectives and business uses
• Assist in the creation and maintenance of policies and procedure manuals which formalizes the model risk management activities based on good business practices and existing supervisory expectations
• These are tailored according to the applicable legislation and requirements of each department and country where necessary
• Assist in updating enterprise-wide risk management policies and procedures to ensure that they reflect best practice and addresses market and credit risk in all the bank’s activities and at both the individual and portfolio level
• Modelling Implementation:
• The Quantitative Analyst will be responsible for developing models for Group & Its subsidiaries, according to the model development register designed by each entity
• The model development register should be designed for each entity according to the regulatory requirements and the individual requirements of the entities as discussed with the different risk managers and PRO’s
• Have regular discussions with PRO’s to ensure the modelling is on track and sufficient for their needs.
• The Financial Risk Analyst will be responsible for the development process with a clear statement of purpose. Design, logic, theory as well as the mathematical specification and the numerical techniques and approximations pertaining to the different models. Methodologies and processes should be documented and supported by published research and sound industry practice
• Models include:
•     IFRS 9 modelling
•     Credit Grading
•     Credit Scoring
•     ICAAP models to determine the expected and unexpected losses
•     Forecasting models
•     Regulatory models
• Ensure that the implemented models are functioning effectively and assess performance over time as conditions and model applications change. Measures should be built into individual model guidelines to allow the users of the models to identify when models are not operating efficiently, where-after the model developer will review the model again
• Produce clear and comprehensible reports and documentation to aid in effective business decision making, while outlining estimates, input-value scenarios and assumptions that provides indications of the model’s accuracy, robustness, stability and limitations. The reports and documentation should also state compliance with policy and provide for the continuity of operations
• Critically validate external and other third party data and parameter values and assess whether the data is representative of the bank’s situation
• Organize model validation committee meetings to discuss and validate the working of the models and the methodologies followed
• Ensure that the model validation committee documentation is submitted to the members and the minutes are completed after each meeting
• Develop models to monitoring, profile and explain the following:
•     Business, Economic and Industry trends
•     Market and credit concentrations
•     Client, business and product risk and profitability grading
•      Stress testing and scenario analyses
•      Product and balance sheet optimization
•      Any other matters identified over time
• MIS:
• Creating the capability for delivering the MIS service to the other business units. Training the necessary people to do the extraction and the compilation of the data. Ensure the necessary people have access to the systems they need to extract the data
• Formalize the MIS process – developed procedure manual for the MIS process to extract and present data to other parties
• Create templates for MIS reports that contain the necessary information for the report/data needs
• Create ad hoc reports and conduct ad hoc data extractions as needed in a timely and professional manner
• Create reports that automate processes to assist other departments to operate more efficiently. Including amongst others:
• Extraction and summarization of data from Phoenix system
• IFRS 9 Impairment calculations
• Necessary reports for external use including covenants and due diligence queries
• Assist Group companies in creating a MIS reports to assist in automation and summarization of reports and data
• Other:
• Familiarize himself/herself with policies, manuals and internal documentation, as well as management models pertaining to market and credit risk
• Identifying and analyzing existing and potential risks in any product or activity offered or envisaged to be offered by Bank Windhoek
• Ensure the follow-up of issues identified during the monitoring process
• Engage with business to pro-actively identify potential market and credit risk, as requested and/or as deemed necessary through indicative analyses
• Assisting the Head: Financial Risk in preparing and presenting reports to the Board Audit, Risk and Compliance Committee, the Executive Management Team, Asset and Liability Committee and the Risk Committee
• Considering, suggesting and applying methods to improve market and credit risk analysis and reporting to the Board Audit, Risk and Compliance Committee, the Executive Management Team, Asset and Liability Committee and the Risk
• Committee
• Assisting in consulting and advising on actions to address significant market and credit risk weaknesses and table recommendations to the Risk Committee, Asset and Liability Committee and Board Audit, Risk and Compliance Committee for approval
• Assist in review and compilation of the risk report for the Bank Windhoek Annual Financial Statements
• Assist in reviewing of submissions to Risk Committee, EMT and BARC
• Assist in reviewing monthly CRF report and minutes
• Assist in reviewing monthly ALCO report and minutes
• Assist with the write-up and review of the ICAAP financial risk and modelling sections

Requisites

• A minimum a degree in a mathematical, programming and/or optimization
• Qualification in programming languages
• A post-graduate degree will be a distinct advantage
• Knowledge on data handling and warehousing
• Proficient in algorithms, mathematical theory and computational techniques
• Comprehensive modelling capability
• 3 years’ experience in mathematical modelling environment
• Financial markets and derivatives knowledge
• Proficient Microsoft Office Applications, IT, SQL. SAS and programming skills
• Be able to identify weaknesses in Bank Windhoek’s systems, as well as the causes of the identified weaknesses
• Good decision making and negotiating skills and
• Be able to see the bigger picture
• Core Competencies:
• Proficient analytical, statistical and mathematical knowledge and skills
• Accurate and efficient
• Excellent team and personal relationship skills
• Proficient system and process skills
• Able to apply strategic objectives into meaningful analytical scenario’s
• Formulating strategies and concepts
• Persuading and influencing
• Good verbal and written communication skills
• Observant

Notes

• Only shortlisted applicants will be contacted