Job title: Portfolio Analyst
Job type: Permanent
Emp type: Full-time
Industry: Financial Services (Asset Man, Wealth & Other)
Expertise: Financial Services (Asset Man, Wealth & Other)
Salary type: Annual
Location: Johannesburg
Job published: 11-03-2020
Job ID: 34423
Contact name: Katie Schnugh
Phone number: 0215554402
Contact email: katie@trackingtalent.co.za

Job Description

This Johannesburg Asset Manager are recruiting for a Portfolio Analyst – Credit Alternatives to play an advisory role to the origination of credit assets that achieves optimised portfolio objectives/ outcomes through in-depth portfolio analysis and reporting. You will ensure that the analytics capabilities and methodologies required to support business initiatives are best of breed and remain relevant to the activities of the business.

The successful candidate will have approx. 2 years +experience in quantitative role at an Investment Bank or Insurance company; trading function within FICC/ Global Markets space or graduate with strong academics

You will prepare accurate reports to satisfy risk reporting requirements, with relevant interpretation of analyses for business users. Managing portfolio factor risk (e.g. currency risk, interest rate risk) and concentration risk (e.g. counterparty, asset class, region, sector).

 

Key Requirements:

  • Quantitative Degree (postgrad) – Mathematics, Statistics, Econometrics
  • CFA would be an advantageous
  • Credit risk modelling/measurement (determination of asset PDs and LGDs)
  • Knowledge of and portfolio modelling of credit asset (loans, bonds, RCF’s, structured products, derivatives, etc.)
  • Debt Capital Markets (debt origination, structured finance, securitisation, etc.)
  • Knowledge of credit derivatives (etc.) and use thereof to achieve optimised portfolio outcomes
  • 2 years +experience in quantitative role at an Investment Bank or Insurance company; trading function within FICC/ Global Markets space or graduate with strong academics

 

 

Key Responsibilities:

  • Close collaboration with origination team in guiding the various origination activities and portfolio construction initiatives towards optimised portfolio outcomes o Analyse outputs to advise on portfolio optimisation and provide inputs into the origination process
  • Pricing of assets with use of Moody’s Risk Frontier and ability to opine on the appropriateness of the same in relation to the market
  • Assist the credit risk team in quantification of credit risk – this may include inter alia, assessing and recommending appropriate methodologies and tools for determination of PD and LGD
  • Present recommendations to the relevant committees within the organisation
  • Develop and implement research methodologies and techniques that enable business reporting and decision making
  • Ensure that trades are modelled accurately reflecting their cashflow and risk (PD, LGD) profile
  • PD and LGD methodologies, calibration of market parameters
  • Design and implementation of leading portfolio optimisation techniques including code development in statistical software (Matlab, Python, R)
  • Participate in the portfolio valuations forum
  • Risk and performance reporting: ensuring that portfolio metrics are accurate and reported timeously and correctly at the various reporting forums
  • Investigate and recommend the use of derivatives and/or leverage in the portfolios to achieve risk/return objectives
  • Provide support/insight/advice to other business and broader group value chains (ALM, Structuring, Risk Product Development etc.) from time to time