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:Market RiskCredit RiskLiquidity RiskFollowing up on limit breaches and obtaining explanations from the front office teamsError and exception monitoring and follow-upAssist with the production of management reportsHandle ad-hoc requests, including:risk related queriesrecons of information between the various systemsQualification and ExperienceMSc (Maths, Physics, Engineering) Degree with 6 to 8 years related experience.Knowledge and SkillsPricing Analysis and ModelingProduct Risk MgmtRisk analysis and managementUnderstands 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.Personal AttributesManages complexity - Contributing through othersFinancial acumen - Contributing through othersBusiness insight - Contributing through othersBalances stakeholders - Contributing through othersBuild a successful career with usWere 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 CompetenciesBeing resilient - Contributing through othersCollaborates - Contributing through othersCultivates innovation - Contributing through othersDrives results - Contributing through othersCustomer focus - Contributing through othersTurnaround timeThe 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 transformationThe 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.
Posted
05/05/2022
Location
Johannesburg, GT, ZA