Senior Manager - Quantitative Risk and Market Risk

Business Unit: Financial Risk Management (FRM)

Location: Johannesburg, South Africa

Reporting Line: Partner in Charge of Market Risk & Treasury

• Executive Summary & Position Intent

The Senior Manager – Quantitative Risk Advisory & Technical Reference Expert serves as the primary quantitative brain and ultimate technical reference expert for the FRM Market Risk practice across Sub-Saharan Africa.

Designed as a high-leverage technical buffer for the Partner, this individual assumes final accountability for complex hands-on model development, advanced validation execution, and mathematical sign-offs. The successful candidate will lead elite technical delivery teams across the region, transforming intricate mathematical and algorithmic frameworks into highly trusted advisory solutions for tier-1 financial systems.

• Advanced Quantitative Frameworks & Multi-Asset Modeling
• Stochastic Modeling & Calibration: Build, validate, and calibrate advanced stochastic processes acrossCommodities, Interest Rates, Equities, and Foreign Exchange (FX).
• Embedded Derivatives: Serve as the definitive technical reference expert on the valuation and structuraldecomposition of embedded derivatives within complex corporate, structured wholesale finance, and projectfinance contracts.
• XVA & FRTB Implementation: Oversee the architectural design, mathematical calibration, and deploymentof complex valuation frameworks including Credit, Debt, and Funding Valuation Adjustments (XVA),alongside the technical execution of the Fundamental Review of the Trading Book (FRTB) standards.
• Structured Finance & Securitisation: Lead the quantitative assessment, cash-flow waterfall modeling,tranche structuring, and portfolio risk evaluation of securitisation structures and asset-backed instruments.
• Banking Book Risk & Financial Reporting Precision
• Balance Sheet Risk Analytics: Drive granular analytics for Interest Rate Risk in the Banking Book (IRRBB),including sophisticated behavioral modeling for non-maturing deposits (NMDs), prepayment pipelines, andimplicit optionality.
• CSRBB Architecture: Define and execute quantitative modeling for Credit Spread Risk in the Banking Book(CSRBB) to ensure highly accurate risk capturing for market-driven spread movements.
• Technical Audit Assurance: Lead the quantitative support function for large-scale external financial audits.Act as the technical expert on the valuation and accounting treatments under IFRS 2 (Share-basedPayments), IFRS 13 (Fair Value Measurement), and IFRS 9 (Financial Instruments, including complex

macro-hedge accounting frameworks).

• Production Engineering, Systems, & Leadership
• Algorithmic Governance: Maintain complete code-base control and code-review integrity across the team’s production-grade libraries, maintaining a heavy development and testing ecosystem built in Python and C++.
• Enterprise Vendor Platforms: Ensure quantitative financial models map seamlessly into advanced risk infrastructure and enterprise treasury platforms, demonstrating strong hands-on familiarity or alignment with Murex and CompatibL architectures.
• Client Management & Growth: Manage senior technical relationships directly with the quantitative divisions, risk committees, and treasury departments of leading commercial banks, top-tier investment banks, and prominent insurance firms across South Africa.
• Pan-African DFI Delivery: Lead cross-border quantitative advisory executions for leading Development Finance Institutions (DFIs) and financial entities across the African continent.
• Talent Cultivation: Directly mentor, train, and manage quantitative analysts and graduate recruits coming through specialized academic pipelines.
• Minimum Candidate Profile & Strict Filters
• Education: Master’s Degree (MSc/MPhil) or PhD in Financial Mathematics, Mathematical Finance, Quantitative Finance, or a deeply quantitative equivalent (e.g., Physics, Computer Science/Electrical Engineering with finance alignment) from a premier institution.
• Certifications: Active professional designations from globally recognized risk bodies, specifically PRM (PRMIA) or FRM (GARP), are highly preferred.
• Experience: 6 to 9 years of deep, hands-on institutional experience embedded within Model Development (Model Dev) or Model Validation divisions inside the Corporate and Investment Banking (CIB) units of leading domestic or international banks, or elite advisory practices.
• Technical Toolkit: Expert-level mastery of object-oriented programming for quantitative financial architectures using Python or C++. Flawless theoretical grounding in stochastic calculus, numerical methods, linear algebra, and Monte Carlo engine construction.