Quantitative Analyst will be required to validate mathematical and statistical models used within Global Markets (Trading), Market Risk and Counterparty Credit Risk for the Standard Bank Group. The purpose of this job is to ensure that the validation requirements for Exotic and Structured Derivatives, Credit Derivatives, and models used in Valuation Adjustments (xVA including CVA, DVA, FVA, FCA, FBA, KVA, etc.) within SBSA and related entities in SBG are met. Below are some key responsibilities,

Perform initial and ongoing validation of internally and externally developed Market Risk and Trading models, with a focus on the validation of xVA models. This requires a detailed understanding of the theoretical components of the model, the model specification and related data requirements; research and development of independent/challenger model to use as the reference model; collating validation results in a technical report; and making conclusions on the validation outcome of the model being assessed.Interact with Model Development, Risk Management and Business to obtain additional clarity on the models that are being validated. As part of the validation process, agreement on actions to be taken by Model Development to remediate validation recommendations must be reached, which may result in rebuild/redevelop/amendment of methodology by model development.Perform model validation tasks according to the team’s operating standards. This involves preparation (reviewing model development documentation); performing the validation according to model validation policy and procedures; writing up a validation report and allowing for review/challenge; and presenting the validation at model approval/technical committees.