Senior Quantitative Analyst ALM
Who are we?
Sanlam Specialised Finance (SanFin) is responsible for creation of shared value for Sanlam, its shareholders, policy holders, and societies with in which it operates by managing financial risk, developing financial products, and balance sheet optimisation, pursuing investments and financing opportunities in assets, sectors, markets, organisations, and geographies that enable maximum return within acceptable risk parameters.
What will you do?
Building and validating quantitative models in support of the SanFin Markets Solutions’ business’ asset-liability management, product development and structuring activities. These activities span various asset classes including fixed income, currencies, equities. You will provide expert judgement/advice on quantitative assumptions and modelling approaches, including model development, implementation and validation across the business.
What will be your key responsibilities?
You will use your Quantitative Skills in the following Area:
- Asset-Liability Management
- Funding and liquidity management
- Derivative structuring
- Balance sheet optimisation
Experience and Knowledge
- B.Sc (Hons), BBusSc(Actuarial Science) or Masters in Financial Maths or Financial Engineering
- Minimum of 6-8 years of experience in in building quant model libraries (in C# and other programming languages), designing trading and risk management tools across all asset classes
- Experience in using trading and risk management systems, including building interfaces for different systems is preferable
- Experience in derivative pricing, modelling and risk measurement is key
Qualification and Experience
Degree with 6 to 8 years related experience
Knowledge and Skills
Pricing Analysis and Modeling
Product Risk Mgmt
Risk analysis and management
Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes.
Ensures that all risks in trading book products are correctly valued.
Manages complexity – Contributing through others
Financial acumen – Contributing through others
Business insight – Contributing through others
Balances stakeholders – Contributing through others
Build a successful career with us
We’re all about building strong, lasting relationships with our employees. We know that you have hopes for your future – your career, your personal development and of achieving great things. We pride ourselves in helping our employees to realise their worth. nThrough its four business clusters – Sanlam Life and Savings, Sanlam Investment Group, Sanlam Emerging Markets, Santam, as well as MiWay and the Group Office – the group provides many opportunities for growth and development.
Being resilient – Contributing through others
Collaborates – Contributing through others
Cultivates innovation – Contributing through others
Drives results – Contributing through others
Customer focus – Contributing through others
The shortlisting process will only start once the application due date has been reached. The time taken to complete this process will depend on how far you progress and the availability of managers.
Our commitment to transformation
The Sanlam Group is committed to achieving transformation and embraces diversity. This commitment is what drives us to achieve a diverse, inclusive and equitable workplace as we believe that these are key components to ensuring a thriving and sustainable business in South Africa. The Group's Employment Equity plan and targets will be considered as part of the selection process.