Sanlam Vacancies Sandton – Quantitative Risk Analyst

Job Description:

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.

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.

Job Responsibilities:

• 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.

Job Requirements:

• 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.
• 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
• Manages complexity – Contributing through others
• Financial acumen – Contributing through others
• Business insight – Contributing through others
• Balances stakeholders – Contributing through others

Job Details:

Company: Sanlam

Vacancy Type:  Full Time

Job Location: Sandton

Application Deadline: N/A

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