Senior Quantitative Analyst ALM – Sanlam


Building and validating quantitative models in support of the SanFin Markets Solutions’ business’ asset-liability management, product development and structuring activities. These activities span various asset classes including fixed income, currencies, equities. You will provide expert judgement/advice on quantitative assumptions and modelling approaches, including model development, implementation and validation across the business.


You will use your Quantitative Skills in the following Area:

  • Asset-Liability Management
  • Funding and liquidity management
  • Derivative structuring
  • Balance sheet optimisation

Experience and Knowledge 

  • B.Sc (Hons), BBusSc(Actuarial Science) or Masters in Financial Maths or Financial Engineering
  • Minimum of 6-8 years of experience in in building quant model libraries (in C# and other programming languages), designing trading and risk management tools across all asset classes
  • Experience in using trading and risk management systems, including building interfaces for different systems is preferable
  • Experience in derivative pricing, modelling and risk measurement is key

Qualification and Experience

Degree with 6 to 8 years related experience

Knowledge and Skills

Pricing Analysis and Modeling
Product Risk Mgmt
Risk analysis and management
Understands underlying theoretical stochastic models and the variety of numerical schemes required to develop, implement and maintain pricing models. Researches new models and numerical schemes.
Ensures that all risks in trading book products are correctly valued.

Personal Attributes

Manages complexity – Contributing through others
Financial acumen – Contributing through others
Business insight – Contributing through others
Balances stakeholders – Contributing through others

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