Quantitative Analyst - Counterparty Credit Risk

About this role

Absa, one of South Africa’s largest banks, is hiring a Quantitative Analyst for its Counterparty Credit Risk team in Sandton. The role focuses on measuring and explaining the credit exposure the bank carries on its derivative trades and related products.

What you’ll do

• Calculate and explain potential future exposure (PFE), mark-to-market (MTM) and other exposure measures for OTC derivatives, securities financing transactions and structured products.
• Support Front Office and Credit Risk teams with pre-deal calculations, ad hoc exposure work and questions about limit use.
• Look at what drives exposure, including collateral, margining, legal agreements and credit risk mitigation.
• Monitor exposure and limit breaches, look into large movements and make sure issues are escalated and resolved on time.
• Run stress tests, sensitivity checks and scenario analysis, and help with model calibration, validation and back-testing.
• Prepare daily margin reporting for the Prudential Authority, plus monthly stress-testing, KRI and management reports.
• Help test and improve risk systems and data flows, including Sigma, QlikView and ETL processes.

What you need

• A Bachelor’s Degree or Advanced Diploma in Risk Management, Financial Risk Management, Mathematics, Statistics, Economics or a related quantitative field.
• One to three years of relevant experience in counterparty credit risk, derivatives or quantitative risk.
• A working knowledge of financial markets, derivative products, exposure measurement and risk metrics.
• An understanding of netting, collateral, legal agreements, margining and credit risk mitigation.
• Advanced Excel skills.
• Strong analytical judgement and attention to detail.
• Advantageous: FRM or CA(SA) qualification.
• Advantageous: Exposure to counterparty credit risk regulation, including SA-CCR and margin requirements.
• Advantageous: Experience with Power BI, Python, SQL or other automation and analytics tools.
• Advantageous: Experience with Sigma or QlikView.

Is this job for you?

This role suits an analytical person who enjoys working with numbers and complex transactions. You should be comfortable explaining technical risk ideas to people outside the risk team, including senior managers and governance forums. You should also be happy to work to strict controls and documentation standards.

Tips before you apply

• Have your degree or diploma certificate, and any FRM or CA(SA) proof, ready to upload.
• In your CV, list the exposure measures, models or systems you have used (for example PFE, MTM, Excel models or QlikView), and say what you did with them.
• Show your 1 to 3 years of experience through specific examples, such as a stress test you ran or a report you prepared for management.