Job DescriptionTo build, price and validate the quantitative models behind Investment Solutions transactions, and to support the deal team in taking those transactions from first idea to closing. The role is mainly modelling: the Quantitative Dealmaker owns the numbers on each deal and makes sure they hold up with clients, credit, legal and the regulator.
Are You Someone Who Can
Modelling and pricing
- Build, maintain and review pricing and cash-flow models, including waterfall analysis and hedge valuation, for securitisations, repacks, credit-linked notes, conduit funding and pooled credit structures.
- Develop and validate structured credit models, and test them before they are relied on for pricing or committee decisions.
- Price transactions and run stress, sensitivity, default, prepayment and rating-scenario analysis.
- Model the capital, funding and liquidity effect of structures on the bank and on clients.
Analysis and data
- Analyse cash-flow and asset performance data on new and closed transactions.•
- Work with large loan-level and portfolio datasets: clean them, interrogate them and turn them into model inputs.•
- Research credit performance, market trends and modelling techniques relevant to the team's structures.
Deal support
- Own the modelling workstream on each transaction and deliver it accurately under deal pressure and tight timelines.•
- Turn model output into term sheets, credit papers, committee submissions and client presentations.•
- Present and explain model results to clients, alongside the deal team.•
- Review transaction documents with internal and external lawyers to confirm they match the model: priority of payments, triggers, definitions and reporting.•
- Support the set-up and running of ring-fenced issuer vehicles, including investor and noteholder reporting.
South African regulatory context
- Apply the Banks Act framework to structures, including the Securitisation Exemption Notice and Commercial Paper Exemption Notice and the Regulations relating to Banks.•
- Take account of JSE debt listing requirements and exchange control rules where they affect a structure.
Tools and model governance
- Develop high-quality, well-documented models (in Excel, R or Python), to automate data processing, model implementation and reporting.
- Keep models documented, version-controlled and ready for model validation and audit.
- Improve the team's modelling library over time.
You Will Be An Ideal Candidate If You:
- A postgraduate degree: Honours (NQF 8) or Master's (NQF 9) in Actuarial Science, Mathematics of Finance or Engineering, Mathematical Statistics, Applied Mathematics, or a closely related quantitative field.
- 2 to 4 years' post-graduate experience in quantitative modelling, in structured finance, credit, corporate and investment banking, insurance or an actuarial role.
- A strong modelling background, including building financial models from first principles, not only running existing ones.
Advantageous
- Good progress on the Actuarial Society of South Africa (ASSA) exams; Technical Member (TASSA) or Associate (AMASSA) status.
- CFA, FRM, or CA(SA), or relevant engineering qualification, completed or in progress.
- Exposure to securitisation of mortgage, consumer, corporate loan or other asset classes, repacks, credit-linked notes or conduit funding.
You Will Have Access To:
- Opportunities to network and collaborate
- Challenging Working
- Opportunities to innovate
We Can Be a Match If You Are
- Curious & courageous - you're driven by always wanting to know more and learn more and you're brave enough to
- Obsessed with mastery - you know what it takes to become good at what you do and are constantly pushing yourself to do it
Are you interested to take the step? We look forward to engaging with you further. Apply now!
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Important Closing Date NoteTake note that applications will not be accepted on the below date and onwards, kindly submit applications ahead of the closing date indicated below.
14/10/26
All appointments will be made in line with FirstRand Group’s Employment Equity plan. The Bank supports the recruitment and advancement of individuals with disabilities. In order for us to fulfill this purpose, candidates can disclose their disability information on a voluntary basis. The Bank will keep this information confidential unless we are required by law to disclose this information to other parties.