Senior Quantitative Risk Analyst (Equity & Interest Rate Derivatives)

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Senior Quantitative Risk Analyst (Equity & Interest Rate Derivatives)

Remuneration: R1200000 - R1300000 per year negotiable cost-to-company 
Benefits: Medical aid, pension, provident, group life, disability income, funeral and trauma
Location: Johannesburg, Sandton
Education level: Honours
Job level: Senior
Type: Permanent
Reference: #SG -QUANT
Company: TalentLink

Job description

CFA and BSc (Hons) / MSc in Mathematical / Statistical / Maths of Finance (MPhil) / Financial Risk Management (FRM) / Business Mathematics / Quantitative Risk Management (QRM) or a similar qualification. 7 - 10 years’ experience in a similar role with exposure to financial markets and the applications of mathematical concepts in finance. Extensive exposure to equity derivatives would be an advantage. 
Assist with the building of quantitative models for the valuation, pricing, and risk management of various financial instruments, which could include bespoke equity (BEE deals), equity derivatives and/or interest rate derivatives.
• Assist with the building of quantitative models for the valuation, pricing, and risk management of various financial instruments, which could include bespoke equity (BEE deals), equity derivatives and/or interest rate derivatives, including structured products.
• Liaise with respective Front Office personnel to identify and account for all risk factors for existing and new products in the SanFin Trading Platform.
• Assist in formulating and maintaining various risk limits.
• Formulate, read, and interpret technical documentation to be able to provide commentary to various stakeholders.
• Report and monitor daily risk across a combination of business units where necessary.
This includes but is not limited to:
? Market 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).
• Presentation of quantitative methods and/or risk reports to relevant stakeholders and/or committees.
• Mentoring / Leadership role within the team

Requirements

• Strong proficiency in MS Excel, including VBA.
• Experience in programming languages including Python.
• 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.
• Proven exposure to the equity market, including the valuation of equity derivatives and risk management.
• Excellent communication skills (verbal and written).
• Preferred broad-based financial risk knowledge, including risk sensitivities, and firm-wide risk measures on linear and non-linear financial instruments.
• Understanding of yield curve construction and bootstrapping techniques.
• Proficiency in documenting technical and quantitative concepts.
• Knowledge of trading systems including Murex will be a distinct advantage.
Posted on 21 Jul 17:15

Apply

Shovan Goodjarran
[email protected]
082 739 5207


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