Senior Quantitative Analyst

Job Purpose

To enhance the profitability of CIB through quantitative and analytical data support to the portfolio optimisation function to enable the optimisation of liquidity, margin, credit, and capital in line with the CIB’s risk appetite and business strategy.

Job Responsibilities

• Provide advanced quantitative and analytical data support to the portfolio optimisation function.
• Analyse data and market information using statistical and quantitative methods to identify trends, patterns, and opportunities for optimisation of margin, liquidity, and credit risk across CIB portfolios.
• Understand the impact of FTP including interest rate risk in the banking book and liquidity to optimise deal and portfolio outcomes.
• Develop, implement, and maintain quantitative models for forecasting, risk assessment, and optimisation.
• Assist in the design of endowment hedging strategies to mitigate financial risks and optimise earnings for CIB in line with interest rate risk frameworks and approved risk appetite, supported by appropriate hedge accounting solutions.
• Continuous research to develop innovative quantitative solutions and improve existing methodologies to analyse risk and returns on portfolios.
• Collaborate with risk management, trading, distribution, and finance teams to enhance risk mitigation strategies within approved operating frameworks and execution mandates.
• Conduct stress testing and scenario analysis to assess the impact of market changes on liquidity, margin, and credit risk to support portfolio shape and capital discussions with the EXCO (sub) committee.
• Stay updated with the latest developments in financial markets, regulations, accounting, and quantitative techniques.
• Perform capital analysis on portfolios and risk structures and design and refine return frameworks to ensure optimal outcomes using the latest quantitative techniques.
• Conduct risk analytics to understand early warning indicators, book evolution, portfolio returns, etc.
• Explore new funding and hedging products, and funding strategies to optimise and align with both internal and external policies, procedures, and regulations. Maintain market liquidity intelligence and best practices.
• Develop and maintain analytical tools and applications to support data-driven decision-making
• Perform funding analysis and product design to optimise behavioural liquidity across CIB products and portfolios.
• Build internal and external stakeholder relationships.
• Generate comprehensive reports and visualisations to communicate findings and recommendations to stakeholders

Essential Qualifications - NQF Level

Preferred Qualification

• Postgraduate degree in Statistics, Mathematics, Quantitative Finance or Economics, with a Masters preference.

Minimum Experience Level

• 8 years’ experience in a Treasury, Balance Sheet Management and/ or Risk Management function with a focus on quantitative optimisation strategies.
• Strong analytical and problem-solving skills with the ability to interpret complex data sets.
• Strong programming skills in Python, MATLAB, SAS, or similar languages.
• Experience with machine learning techniques and their application in quantitative analysis.

Technical / Professional Knowledge

Behavioural Competencies