RESPONSIBILITIES:

Lead in the scoping, design, development, improvement and maintenance of quantitative risk models in the Bank, including IFRS 9 Expected Credit Loss models, credit risk models; Market, Liquidity and Interest Rate risk models; Value at Risk; Stress and back testing

Manage the development of models for analysis of capital, including Economic Capital, Internal Capital Adequacy and Assessment Process (ICAAP), Comprehensive Capital Analysis and Review (CCAR) as well as BASEL Framework.

Implement an effective modelling environment to promote and control the data quality, sound development, implementation and use of models.

Support the Bank’s business units with quantitative analysis and strategies in order to support decision-making in the core business, including pricing. Produce comprehensive reports on quantitative analysis for management and input to board reports

Establishment of a sound, effective and independent model validation process.

Put in place, safeguarding and upholding sound model and modelling governance.

Manage training of Staff users of quantitative risk models.

REQUIREMENTS:

A Degree in Mathematics, Financial Engineering, Risk, Finance, Statistics or equivalent.

Possession of a professional qualification in quantitative risk modelling, financial risk management or actuarial science an added advantage.

Advanced skills in Microsoft Excel computer application.

Relevant working experience in finance or risk department in a bank.

Capability to develop models for data analysis and quantification of risk.

Ability to carry out econometric modelling and forecasting.

Applicant should innovative around modelling and quantitative risk analysis.

Previous engagement in modelling or quantitative risk projects or assignments will be an added advantage

Clean Class 4 Driver’s License a must.