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Quantitative Analyst – Counterparty Credit Risk
Absa Group. Provide independent analysis and oversight of counterparty credit exposure across derivative portfolios, focusing on PFE, MTM, margin and limit utilization .
Core Competencies
Role fitCore Competencies
Use this summary to align your resume positioning with the role.
Demonstrates expertise in counterparty credit risk analysis, including exposure measurement, risk metrics, and regulatory compliance. Proficient in utilizing advanced analytical tools and methodologies to assess and mitigate credit risk across derivative portfolios.
Highest-signal resume keywords
Counterparty Credit Risk AnalysisExposure MeasurementAdvanced Excel CapabilityRisk Systems ExperienceRegulatory Compliance Knowledge
ATS Keywords
Tailor your resumeApplicant Tracking System Keywords
Tip: use these terms in your resume and cover letter to boost ATS matches.
Hard Skills
Counterparty Credit RiskDerivativesQuantitative RiskSensitivity AnalysisStress TestingData Quality ControlRoot-Cause AnalysisPortfolio AnalyticsCredit Risk MitigationFinancial Risk Management
Soft Skills
Analytical JudgementAttention to DetailClear CommunicationAbility to Manage PrioritiesDisciplined Approach
Tools & Technologies
Power BIPythonSQLSigmaQlikViewData Visualization ToolsRisk Systems
Certifications & Qualifications
FRMCA(SA)
Industry Keywords
SA-CCRMargin RequirementsCollateralLegal AgreementsOTC DerivativesSFTsMarket DevelopmentsCredit Risk RegulationExposure DriversLimit Utilization
Tech Stack
Tools & technologiesPythonSQL
About the role
Key responsibilities & impact- Provide independent analysis and oversight of counterparty credit exposure across derivative portfolios, focusing on PFE, MTM, margin and limit utilization
- Partner with Front Office, Credit Risk, Quantitative Risk, Finance and Technology teams on pre-deal assessments, complex transaction analysis and credit decisions
- Calculate, analyse and explain exposure measures for OTC derivatives, SFTs and structured products
- Assess exposure drivers at trade, netting-set and portfolio level, including collateral, margining, legal agreements and credit risk mitigation
- Monitor exposure and limit exceptions, investigate material movements and escalate issues
- Support development, testing, validation and enhancement of counterparty credit risk models, systems and reporting processes
- Perform sensitivity analysis, stress testing and scenario analysis
- Produce portfolio analytics covering concentration, sector, wrong-way risk and other counterparty risk views
- Monitor exposure-data accuracy and completeness through controls, reconciliations, reporting and escalation
- Assist with user acceptance testing for Sigma releases, model enhancements and system changes
- Provide business requirements to Technology teams and support testing, implementation and issue resolution
- Automate and streamline reporting, manual overrides, marginal risking and recurring processes
- Document processes, methodologies, controls, test results and model changes
- Prepare regular, ad hoc, management, governance and regulatory counterparty credit risk reports
- Support daily margin reporting to the Prudential Authority and monthly stress-testing, scenario-analysis, KRI and management-information reporting
- Prepare presentations and commentary on exposure movements, concentrations, emerging risks and control matters
- Represent the team in counterparty credit risk workstreams and contribute PFE and MTM considerations to cross-functional discussions
- Maintain awareness of market developments, regulatory changes and industry practice, including SA-CCR and margin requirements
Requirements
What you’ll need- Bachelor's Degree or Advanced Diploma in Risk Management, Financial Risk Management, Mathematics, Statistics, Economics or a related quantitative discipline
- One to three years of relevant experience in counterparty credit risk, derivatives or quantitative risk
- Working knowledge of financial markets, derivative products, exposure measurement and risk metrics
- Understanding of counterparty credit risk concepts, including netting, collateral, legal agreements, margining and credit risk mitigation
- Ability to interpret complex datasets, perform root-cause analysis and translate results into practical risk insights
- Advanced Excel capability
- Experience with risk systems, data visualisation tools and data-processing workflows
- Knowledge of model governance, validation, back-testing, stress testing and data-quality control principles
- Strong analytical judgement, attention to detail and a disciplined approach to controls
- Clear written and verbal communication
- Ability to manage multiple priorities in a fast-paced environment
- Professional qualifications such as FRM or CA(SA) are advantageous
- Exposure to counterparty credit risk regulation, including SA-CCR and margin requirements, is advantageous
- Experience with Power BI, Python, SQL, Sigma and QlikView is advantageous
Benefits
Comp & perks- Equal opportunity employer
- Inclusive workplace where everyone can thrive
- Reasonable accommodation during the recruitment process
- Preference may be given to candidates from underrepresented designated groups, including persons with disabilities