Senior Credit Quantitative Specialist

Old Mutual · Pinelands

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Job Description

Key Result Areas:

Credit Risk Modelling and Investment Portfolio Support

• Own GCI's credit risk modelling framework, including its methodology inventory, approved applications, data requirements, operating controls, documentation and ongoing fitness for purpose.

• Assess whether model performance, portfolio changes, new risks or changes in use require model recalibration, enhancement, redevelopment or replacement, and refer the required work to the accountable model owner or developer for action.

• Apply approved models within GCI's risk modelling software to proposed investment credit transactions, producing quantitative analysis to support credit assessment, pricing, structuring, risk-adjusted return analysis, capital assessment and investment decision-making.

• Use retail credit exposure data owned and provided by the relevant business units, together with investment credit exposure data, to model shareholder credit exposures in Moody’s RiskFrontier and produce a coherent, consolidated view of credit risk across OMLACSA portfolios.

• Interpret model outputs, portfolio concentrations, capital consumption, risk-adjusted returns and emerging risk trends for management and governance forums.

• Execute the ORSA credit stress scenarios, assess the impact on GCI’s investment credit exposures, and provide management with clear interpretation of the results, key drivers, assumptions and limitations.

Credit Model Validation

• Plan and execute risk-based validations of GCI-owned credit models.

• Assess conceptual soundness, assumptions, data, implementation, controls and fitness for use.

• Document independent conclusions, limitations, conditions of use and required remediation.

• Report material findings to governance forums and monitor remediation to closure.

Systems Development and Implementation Support

• Support the design and development of GCI systems, tools and data solutions by translating quantitative, model risk and control requirements into clear functional and technical requirements.
  • Engage with business users, model owners, developers, data teams and technology stakeholders throughout requirements definition, solution design, testing, implementation and post-implementation review.
  • Review system designs, data flows, calculations, interfaces and controls to assess whether approved methodologies and validation requirements have been implemented accurately and are auditable.

•  Measurable Role Outcomes
  • Maintain an effective, well-governed GCI credit risk modelling framework that remains fit for purpose and supports timely management decisions.
  • Deliver accurate, timely and decision-useful quantitative analysis of investment credit transactions, supported by appropriate checks, reconciliations and transparent documentation.
  • Produce reliable and timely Moody’s RiskFrontier outputs that provide a consolidated view of credit risk across OMLACSA portfolios, subject to the quality and completeness of data supplied by the relevant business units.
  • Execute approved ORSA credit stresses within agreed timelines and provide clear management interpretation of results, key drivers, assumptions and limitations.
  • Deliver agreed quantitative, model risk and control requirements for systems initiatives and support successful testing and implementation.
  • Complete the approved validation plan for GCI-owned credit models within agreed timelines and quality standards.
  • Issue clear validation findings and monitor remediation to timely closure, escalating overdue or inadequately addressed matters through the appropriate governance forums.

Qualifications and Experience Required

• Honours or Masters degree in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Financial Engineering, Econometrics, Operations Research or Engineering.

• Minimum of 8–12 years' experience in quantitative credit analysis, portfolio and capital modelling, structured credit, model application, model development, model validation or related fields. Prior model-development experience is advantageous because it provides the practical depth required to understand and challenge existing models.

• Strong experience applying quantitative models to investment transactions and analysing retail, corporate, structured and portfolio-level credit exposures, including cash-flow analysis, stress testing, risk-adjusted returns, economic capital, exposure aggregation and concentration risk.

• Experience using Moody’s RiskFrontier or a comparable credit portfolio modelling and economic capital platform will be advantageous.

• Advanced Excel capability and practical proficiency in Python, SQL or comparable quantitative data-analysis tools will be advantageous.

• Experience supporting systems development or transformation initiatives involving quantitative models, data integration, requirements definition, testing, reconciliation, implementation assurance or risk reporting is strongly preferred.

• Experience independently validating quantitative credit models and presenting material findings through formal governance processes is preferred.

Competencies

• Strong quantitative and credit risk modelling expertise.

• Commercially relevant interpretation of model outputs.

• Sound independent judgement and professional scepticism.

• Constructive, evidence-based technical challenge.

• Consistent modelling and validation governance discipline.

• Clear communication of complex analysis and risk implications.

• Effective prioritisation and reliable delivery.

• Effective stakeholder engagement and management of validation independence.

Skills

Competencies

Education

Closing Date

The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question.

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