| JOB NAME |
QUANTITATIVE ANALYST (CAPITAL MANAGEMENT)
POSTED BY: Development Bank of Southern Africa
REF:DBSA 77
Date Published:Friday, October 11, 2019
Date of Expiration:Wednesday, April 8, 2020 EXPIRED
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| LOCATION OF THIS JOB |
 South Africa | MIDRAND in South Africa |
| INDUSTRY |
| DEVELOPMENT FINANCE INSTITUTIONS
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| JOB TYPE |
| Full-Time |
| MAIN JOB DESCRIPTION |
Job Title Quantitative Analyst (Capital Management)
Job Grade 16
Job Type Classification Permanent
Location - Town / City Midrand
Location - Province Gauteng
Location - Country South Africa
JOB DESCRIPTION
The primary purpose of this role is to quantify regulatory and economic capital requirements and to contribute towards the planning of future capital requirements given the DBSA’s risk appetite and growth plans.
This role will assist the Principal Capital Management in contributing towards the development of capital management policy, capital quantification methodologies and models.
KEY RESPONSIBILITIES
Technical outputs.
This role contributes towards the monitoring and ensuring compliance with the capital adequacy requirements as per the DBSA Act (regulatory capital limits) and internal capital adequacy limits (risk capital) as outlined in the Bank’s internal risk appetite statement and capital management policies.
1. Quantify risk weighted assets and the appropriate capital requirements for the following Basel Pillar I risks:
1) Credit risk - using Basel standardised and internal ratings based approaches;
2) Market risk - using Basel standardised measurement method;
3) Operational risk - using the basic indicator method, standardised and advanced measurement approaches.
2. Measure, monitor and manage the following Pillar II risk exposures and commensurate capital requirements within the Bank’s risk appetite and capital management policies:
1) Interest Rate Risk in the Banking Book,
2) Portfolio concentration risk,
3) Business / strategic risk,
3. Perform capital forecasting and stress testing to ensure that the bank is adequately capitalised under different scenarios.
Gives inputs into the internal capital management reports to ALCO, EXCO and the Board.
Key Measurements of Outputs
1) DBSA Act capital adequacy
2) Basel regulatory and economic capital adequacy
3) Capital allocation
4) Forecasting and capital planning
5) Return on capital calculations
6) Internal and external reporting
7) Participation in relevant committees
Key Internal Liaison Relationship
1) Risk Management
2) Finance
3) Coverage
4) Transacting
5) CIO
6) IDD
7) Finance Operations
8) Treasury Capital Markets
Key External Liaison Relationship
1) SARB
2) Systems vendor(s)
3) National Treasury ALM Unit
4) Recognised Treasury and Risk Management Forums
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| REQUIREMENTS FOR THIS JOB |
EXPERTISE & TECHNICAL COMPETENCIES
Minimum Requirements
1) Degree in Actuarial Science/Statistics/Quantitative Risk/Mathematics/Applied Mathematics
2) A minimum of 2-5 years’ capital or risk modelling experience in the banking or consulting environment
3) Knowledge of regulations governing the banking sector (BASEL/SARB regulations) is beneficial for this position
4) Programming skills (Python/R/MATLAB/SAS/other)
Desirable Requirements
1) Post-graduate Degree in Actuarial Science/Statistics/Quantitative Risk/Mathematics/Applied Mathematics and/or professional qualification (CFA, or FRM) will be an advantage.
2) Credit risk modelling or validation experience.
Technical Competencies:
Written & Verbal Communication
1) Technically experienced and fully competent writer: can write independently various technical and non-technical documents.
2) Uses a clear and easily understood writing styles when communicating technical information to non-technical employees or individuals.
3) Able to explain procedures, or familiar concepts, adapting the words or explanation to suit the person or the situation.
Planning & Organising
1) Uses time management procedures effectively.
2) Can exercise independent judgement regarding all planning and organising issues.
3) Uses specialised software to plan and manage own time.
4) Plans and manages multiple priorities and deadlines.
Data Collection and Analysis
1) Identifies key facts in an array of data, recognises when pertinent facts are incorrect, missing, or require supplementation or verification.
2) Breaks down data into component parts to understand the nature and relationship of the parts.
3) Has a broad knowledge of statistical data-handling techniques.
4) Can undertake comprehensive analysis of data/information but is not required to draw conclusions.
Financial Acumen
1) Possesses sufficient expertise to establish and manage income and expenditure monitoring systems for own area of the business.
2) Understands cost/revenue drivers within own area and is able to take actions to control resources and expenditure to meet financial targets.
3) Understands basic management accounting reports and the processes by which financial resources are identified, obtained, allocated, managed and accounted for.
Financial Analysis
1) Basic general knowledge of applicable statutes, regulations, entity/company practices and concepts.
2) Interprets and applies laws and regulations, analyses information and evaluates the impact of policies/procedures and practices.
3) Accumulates data; summaries information into pertinent, understandable, and presentable form; discerning valid from invalid comparisons of data; and seeking explanation for variations in the data.
4) Initiates and maintains working relationships with stakeholders.
Quantitative / Modelling competencies (Capital Management)
1) Conduct independent research and development of capital models
2) Enhancements to existing models
3) Data manipulation and analysis
REQUIRED PERSONAL ATTRIBUTES
Behavioural Competencies:
Customer Service Orientation
1) Tries to understand the underlying needs of customers and matches these needs to available or customized products and services.
2) Adapts processes and procedures to meet on-going customer needs.
3) Utilises the feedback received by customers, in order to develop new and/or improve existing services/ products that relate to their on-going needs.
4) Thinks of new ways to align DBSA’s offerings with future customer needs.
Self-awareness and Self Control
1) Withholds effects of strong emotions in difficult situations.
2) Keeps functioning or responds constructively despite stress.
3) May apply special techniques or plan ahead of time to manage emotions or stress.
Strategic and Innovative Thinking
1) Experiments with new approaches, tests scenarios, questions assumptions and challenges conventional thinking.
2) Creates new concepts that are not obvious to others, leveraging internal and external sources of information, to build incremental revenue and growth opportunities.
Driving delivery of results
1) Sets challenging goals that will have a significant impact on the business or support the organisational strategy.
2) Commits significant resources and/or time to ensure that challenging goals are achieved, while also taking action to mitigate risk.
Teamwork & Cooperation
1) Acts to promote a friendly climate and good morale, and resolves conflicts.
2) Creates opportunities for cross-functional working.
3) Encourages others to network outside of their own team/department and learn from their experience.
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