Skills & Competency:

• Forecasting techniques in R
• Segmentation and cohort analysis
• Regression analysis
• Hypothesis testing
• Estimation and correlation analysis

Duties and Responsibilities:

• Development, implementation and optimisation of credit and operational risk models (Basel II regulatory capital models, impairments)
• Development and implementation of various quantitative models for clients in the banking and insurance industries
• Credit risk and operational risk evaluation, including qualitative and quantitative approaches, as well as modelling, analytics, and forecasting
• Data mining, scrubbing, cleaning, mapping and analysis using SAS, SQL, VBA, Python and R skills
• Compilation of model build and business requirement documentation
• Creation of MIS dashboards with advanced insights
• Development and implementation of solutions to monitor the performance of existing models
• Innovative first-principles model building and automation of processes

Education & Qualifications:

• Completed Mathematical and/or statistical related Degree
• Two-five years quantitative analysis or modelling experience
• Competent in SAS, SQL or VBA
• Ideally a Credit Risk or Financial risk background
• Banking or financial exposure preferable

Knowledge:

• Building credit risk models including scorecard development
• Regulatory landscape
• Implementation and automation of models
• Understanding of credit life cycle
• Banking knowledge and exposure
• Market Risk and Financial Modelling knowledge
• Data mining and analytics / Statistics
• General business and process knowledge