This Johannesburg Asset Manager are recruiting for a Snr 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.
The successful candidate will have approx. 5-8 years’ experience in portfolio construction or a similar environment of which 2-3 years at specialist level. 5 years’ experience and knowledge of credit asset characteristics in SA and Africa.
You will be involved in the functions relating to the efficient and effective management of an investment portfolio to ensure that the most advantageous rate of return is attained from the assets invested. 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 Snr Portfolio Manager guides research, analyses trends and produces quantitative and qualitative information to inform business decisions. You will prepare accurate reports to satisfy risk reporting requirements, with relevant interpretation of analyses for business users. You will have the ability to apply concepts of knowledge/skill without requiring supervision and able to provide technical guidance when required. Managing portfolio factor risk (e.g. currency risk, interest rate risk) and concentration risk (e.g. counterparty, asset class, region, sector) is key.
- 5-8 years’ experience in portfolio construction or a similar environment of which 2-3 years at specialist level. 5 years’ experience and knowledge of credit asset characteristics in SA and Africa
- CFA, CFA qualified, B(Eng), or Financial Maths or other Quantitative
- Debt Capital Markets (debt origination, structured finance, securitisation, etc.) knowledge (at least 3yrs)
- Good understanding of the sub Saharan Africa market
- Knowledge of credit derivatives (etc.) and use thereof to achieve optimised portfolio outcomes
- Knowledge of and portfolio modelling of credit asset (loans, bonds, RCF’s, structured products, derivatives, etc.)
- Applied portfolio theory
- Portfolio optimisation
- Behavioural finance
- Asset management landscape
o 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
o 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
o Present recommendations to the relevant committees within the organisation
o Guide and develop PD and LGD methodologies, calibration of market parameters
o Responsible for the design and implementation of leading portfolio optimisation techniques including code development in statistical software (Matlab, Python, R)
o Participate in the portfolio valuations forum
o Risk and performance reporting: ensuring that portfolio metrics are accurate and reported timeously and correctly at the various reporting forums
o Creation of debt capital market programs to allow the distribution of credit risk and/or raising of capital and liquidity against the portfolio
o The ability to accurately account for and monitor “portfolio trades”
o A consistent presence for the portfolios in the credit trading markets in SA and abroad.
• Investigate and recommend the use of derivatives and/or leverage in the portfolios to achieve risk/return objectives
• Keep abreast of changes and new legislation and developments within industries that may affect area of specialisation
• Participates in specialist communities of practice and contributes positively to own and organisational knowledge improvement
• Provide support/insight/advice to other business and broader group value chains (ALM, Structuring, Risk Product Development etc.) from time to time