Assistant Manager - Market Risk Modeling/Validation - BFSI

Support the manager in the following duties:

- Perform activities pertaining to First Line of defense based on the Model Risk Management Framework for traded models:

- Support Model users

- Model development based on best industry practice

- Model validation

- Model calibration and monitoring

- Assist the Risk steward functions in second line of defense activities

- Model documentation in line with SABB standards

- Maintain the WRM model inventory up to date

- Assisting in conducting New Product Due Diligence from a Traded Risk perspective.

- Support all governance forums by providing timely inputs and escalating issues when required.

- Provide model risk expertise of Traded Risk Products of SABB, working in conjunction with Product Controls, Front Office, Global Markets Operations and other support and control functions.

- Participating in the model development cycle in conjunction with BAs and system owners

- Support the model reviews by IMR, Internal and external Audit as well as regulatory visits. Implement the findings in a timely manner.

Qualifications - External

What you will need to succeed in the role:

- Strong quantitative background, with a degree (Masters/PhD preferred) in Statistics/ Econometrics/ Economics/Mathematical Science/Engineering/Finance. Fresh graduate can apply.

- No Minimum of years of relevant experience. Preferred range will be between 0-2 years in either model development or model validation or model management.

- Good understanding of pricing, valuation, VaR, XVA, PFE

- Some knowledge on the products covered: Loans & Deposits, Bonds, FX (Spot, Option, FX Swap, Non Deliverable Forward, Forwards), Rates (IRS, FRA, Options (Caps & Floors)), Cross Currency Swaps, Islamic Market Linked Deposit

- Academic knowledge or working experience on at least one of the following models: Black, Hull-White model (1 factor), Garman-Kohlhagen.

- Good programming skills (VBA, MATLAB, Python etc.) in order to replicate the models (for validation etc.) or making proof of concepts. Knowledge of numerical methods applied on these models is a definite advantage.

- Knowledge of MUREX will be a competitive advantage.

- Ability to collaborate and communicate effectively, including within onshore / offshore team set-ups.

- Ability to drive results in a limited time duration and handle constant work related pressure.