Head - Risk Analytics at Sigma Qualitas Limited

Job Purpose
The Risk Analytics team provides tools, analysis and support for the business divisions within a manufacturing Group;to identify and measure risk, optimize risk prevention and mitigate losses. The candidate will be responsible for a team whose sole responsibility is the development of all methodological aspects of risk management.

Duties & Responsibilities

•     Development of methodologies for rating & scoring including decision analytics, portfolio modeling for all risk types across the group( VaR and economic capital – REGULATORY CAPITAL IS NOT CURRENTLY APPLICABLE)
•     Development of exposure methodologies and the calibration & validation of the respective risk parameters
•     Development and management of applications and tools for capital planning, stress testing, Raroc, portfolio optimization etc.)
•     Development of new scoring methodologies and extended use of sophisticated statistical methods for credit risk ;Data analysis on defaulted customers and modeling of recoveries
•     Analytical support of portfolio management units in the risk assessment of sub-portfolios
•     Development and validation of expert rating models (rating sheets)
•     Capital planning: extension and maintenance of planning tools; support of the annual group-wide capital planning process
•     Risk adjusted return on capital (RaRoC) calculations: extension and maintenance of the RaRoC pricing/performance Tools RPT and Client RaRoC; regular RaRoC calculations
•     Portfolio management tools: establishment of a risk appetite grid and a portfolio optimization framework

Stress Testing:

•     Definition of integrated scenarios for financial (market and liquidity), credit, operational, business risk and develop the different approaches into one unified framework
•     Identification of risk drivers and their stress impact
•     Analysis of stress test results and communication with relevant stakeholders i.e. Business Units, Risk Management units, Finance (Treasury and Capital Management)
•     Establishment of a reporting engine that allows ready and efficient result dissemination

Key Performance Indicators

•     Identify and Quantity operational risks across the group
•     Developed Weighted Average Risk Rating and begin to measure
•     Implement Risk Reporting on Operational Risks across the group
•     Fully developed CSRA program group-wide
•     Working KRI program group-wide
•     Timeliness in meeting deadlines and schedules

Job Requirements
Education

•     Minimum Education: Master’s degree or higher in a strongly technical degree (e.g. Mathematics, Statistics, Physics, Computer Science, engineering).

Experience

•     Minimum experience – 10 years working experience with a minimum of 5 years experience in financial mathematics, ideally in the field of statistics, probability or structured finance
•     Experience working in an R&D or entrepreneurial environment, particularly on a development team

Key Competency Requirements
Knowledge

•     Proficiency in MS Office suite (Excel, Word, PowerPoint, Access)
•     At least one programming language: C, C++, Matlab, Java, Mathematica, SAS, VBA
•     Strong understanding of Risk Management principles

Skill/Competencies

•     Ability to thrive in uncertain environment
•     Experience with analysis of raw data, ability to discern patterns and determine optimal areas of inquiry based on analysis of raw data
•     professional Excel plus experiences with relevant software packages, ideally SAS, VBA, C++, SQL, MS Access
•     Excellent written and Communication skills (written and oral)
•     strong analytical skills & proven ability to solve problems independently
•     Attention to detail