Quantitative Risk Analyst

Job Overview

Let's Write Africa's Story Together! Old Mutual is a firm believer in the African opportunity and our diverse talent reflects this.

Main Activities Of The Job

Instrument modelling and risk

• Model new and existing instruments in the risk system, ensuring correct pricing, cash-flow representation, attribution and sensitivity behaviour across the relevant valuation and capital bases.
• Validate model outputs against independent benchmarks; investigate and resolve discrepancies between front-office, risk and finance views.
• Maintain and extend the quantitative platform the team relies on — curve construction, sensitivities, scenarios and stress testing.
• Monitor and oversee production of risk and attribution reporting from risk system.

Strategy formulation and execution

• Be a part of the team formulating and operationalising investment, hedging and balance-sheet strategies — taking a pr...