Quantitative Risk Analyst

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Date: 22-Jul-2021

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?

  • Analysing, building, providing, testing, sign off and maintenance of quantitative valuation and risk models, with a strong focus on Portfolio Credit Risk Management.
  • Assist systems support team with configuration of the trading system (Murex) for the above models
  • Providing, monitoring and analysing risk (credit, interest rate and liquidity) numbers as well as economic capital usage.
  • Recommendations with regards to risk levels within SANFIN, as well as possible hedging solution for certain business units
  • Handling of ad hoc requests/queries regarding Mathematical models / calculations
  • Keeping up to date with best risk management practices:
  • Researching and advising businesses on new risk management techniques
  • Writing of specs (valuation and/or automation specs); as well as technical risk-based documents.

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

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
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.