Job Description

ROLE PROFILE.
Reporting to the Head - Business Risk, the Quantitative Risk Manager, will be responsible for managing and leading quantitative risk analysis in the Bank, mainly development, validation, and maintenance of quantitative risk models, including IFRS 9, Basel II, Solvency II Models: Market, Liquidity, and Interest Rate risk models.

Duties and Responsibilities

Duties and Responsibilities
• Leading 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.
• Managing the development of models for the analysis of capital, including Economic Capital, Internal Capital Adequacy and Assessment Process (ICAAP), Comprehensive Capital Analysis and Review (CCAR) as well as BASEL Framework.
• Implementing an effective modelling environment to promote and control the data quality, sound devel-opment, implementation, and use of models.
• Supporting the Bank's business units with quantitative analysis and strategies to support decision-making in the core business, including pricing.
• Producing comprehensive reports on quantitative analysis for management and input to board reports.
• Establishment of a sound, effective and independent model validation process. o Safeguarding and upholding sound model and modelling governance.
• Managing training of Staff users of quantitative risk models.
Job Skills and Competencies
• Advanced skills in Microsoft Excel computer application and other modelling software.
• Capability to develop models for data analysis and quantification of risk.
• Ability to carry out econometric modelling and forecasting.

Qualifications and Experience

Qualifications and Experience
• A Degree in Financial Engineering/Mathematics/Risk & Insurance/Statistics or equivalent.
• 3-5 years of relevant working experience in the finance or risk department in a bank at a managerial level.

How to Apply

Interested candidates should submit applications, accompanied by a detailed resume by no later than
23 February 2024. All applications should be emailed to [email protected] clearly indicating the position you are applying for as your e-mail subject reference.
Please note that only shortlisted applicants will be responded to.

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