Quantitative Risk Analyst

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Date: 13-Jan-2022

Location: Sandton, Gauteng, South Africa

Company: Sanlam Group

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;
• Following up on limit breaches and obtaining explanations from the front office teams.
• Error and exception monitoring and follow-up.
• Assist with the production of management reports (fortnightly, monthly, and quarterly).
• Handle ad-hoc requests, including:
    ▪ risk related queries;
    ▪ recons of information between the various systems
    ▪ data collation from different data sources (E.g. Bloomberg, Murex, etc.); and
    ▪ assistance with providing business information, etc.

 

Qualifications & Experience
• BSc or BSc (Hons) in Mathematical / Statistical / Financial Maths / Financial Risk Management (FRM) / Business Mathematics / Quantitative Risk Management (QRM) or a similar qualification.
• 1 - 3 years’ experience in a similar role.

 

Technical Competencies
• Computer literate with proven proficiency in MS Office (Word, Excel and VBA)
• Financial market knowledge, including the knowledge of various financial instruments (loans, interest rate swaps, futures, options, etc.) in the equity and interest rate    markets, and their valuation thereof
• Excellent communication skills (verbal and written).
• Preferred broad-based financial risk knowledge, including risk sensitivities, and firm-wide risk measures for market and credit risk
• Ability to understand the process flow of data and how they integrate between various systems
• Knowledge of trading systems including Murex will be a distinct advantage
• Understanding of financial services and capital markets

Personal Attributes

Manages complexity - Contributing through others
Financial acumen - Contributing through others
Business insight - Contributing through others
Balances stakeholders - Contributing through others

Build a successful career with us

We’re 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
Drives results - Contributing through others
Customer focus - 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.