Quantitative Analyst: Counterparty Credit Risk at Absa, Sandton
Absa · Sandton, Gauteng
Overview
Absa is looking for a Quantitative Analyst to join their Counterparty Credit Risk team in Sandton. You will analyse derivative exposure, support credit decisions and help improve risk models and reporting. This is a great role for a young analyst with one to three years of experience in derivatives or quantitative risk who wants to grow in a major South African bank.
About the role
As a Quantitative Analyst in Absa's Counterparty Credit Risk team, you will play a key role in measuring and managing the bank's exposure to derivative counterparties. You will work closely with Front Office, Credit Risk, Quantitative Risk, Finance and Technology teams to support pre deal assessments, complex transaction analysis and informed credit decisions.
What you will be doing:
- Calculate and explain Potential Future Exposure (PFE), mark to market (MTM) and related exposure measures for OTC derivatives, Securities Financing Transactions and structured products.
- Support Front Office and Credit Risk stakeholders with pre deal calculations, ad hoc exposure analysis and limit utilisation queries.
- Collaborate with quantitative and risk teams on model calibration, validation, back testing and annual model reviews.
- Perform sensitivity analysis, stress testing and scenario analysis to assess the effect of market shocks on counterparty exposure.
- Produce detailed portfolio analytics covering concentration, sector and wrong way risk views.
- Monitor the accuracy and completeness of exposure data through data quality controls, reconciliations and reporting.
- Assist with user acceptance testing for Sigma releases and other system changes, and provide clear business requirements to Technology teams.
- Prepare regular and ad hoc counterparty credit risk reports for management, governance forums and regulatory authorities.
Application note: You will apply on Absa's official careers site. Make sure your CV clearly shows your quantitative background and any exposure to counterparty credit risk, derivatives or risk systems.
Requirements
- Bachelor's Degree or Advanced Diploma in Risk Management, Financial Risk Management, Mathematics, Statistics, Economics or a related quantitative discipline.
- One to three years of relevant experience in counterparty credit risk, derivatives or quantitative risk.
- Working knowledge of financial markets, derivative products, exposure measurement and risk metrics.
- Understanding of counterparty credit risk concepts, including netting, collateral, legal agreements, margining and credit risk mitigation.
- Ability to interpret complex datasets, perform root cause analysis and translate results into practical risk insights.
- Advanced Excel capability.
- Professional qualifications such as FRM or CA(SA) are advantageous.
- Exposure to counterparty credit risk regulation, including SA CCR and margin requirements, is advantageous.
- Experience with Power BI, Python, SQL or other automation and analytics tools is advantageous.
- Experience with risk systems, data visualisation tools and data processing workflows; Sigma and QlikView exposure is advantageous.
Responsibilities
- Calculate, analyse and explain PFE, MTM and related exposure measures for OTC derivatives, SFTs and structured products.
- Support Front Office and Credit Risk stakeholders with pre deal calculations, ad hoc exposure analysis, limit setting and limit utilisation queries.
- Assess the drivers of counterparty exposure at trade, netting set and portfolio level, including collateral, margining, legal agreements and credit risk mitigation.
- Provide analysis and interpretation of complex transactions to support credit assessments and risk decisions.
- Monitor exposure and limit exceptions, investigate material movements and ensure timely escalation and resolution.
- Develop a sound working knowledge of PFE methodologies, model assumptions and the end to end exposure reporting process.
- Collaborate with quantitative and risk teams on model calibration, validation, back testing and annual model reviews.
- Perform sensitivity analysis, stress testing and scenario analysis to assess the effect of market shocks and adverse conditions on counterparty exposure.
- Produce detailed portfolio analytics, including concentration, sector, wrong way risk and other relevant counterparty risk views.
- Monitor the accuracy and completeness of exposure data through effective data quality controls, reconciliations, reporting and escalation.
- Assist with user acceptance testing for Sigma releases, model enhancements and other system changes.
- Provide clear business requirements to Technology teams and support testing, implementation and issue resolution.
- Help maintain and improve the existing risk system framework, including Sigma, QlikView models and relevant ETL processes.
- Identify opportunities to automate and streamline reporting, manual overrides, marginal risking and other recurring processes.
- Document processes, methodologies, controls, test results and model changes to an appropriate audit and governance standard.
- Prepare accurate and timely regular and ad hoc counterparty credit risk reports for management, governance forums and regulatory authorities.
- Support daily margin reporting to the Prudential Authority and monthly stress testing, scenario analysis, KRI and management information reporting.
- Prepare concise presentations and commentary that explain key exposure movements, concentrations, emerging risks and control matters.
- Represent the team in counterparty credit risk workstreams and contribute PFE and MTM considerations to cross functional discussions.
- Maintain awareness of relevant market developments, regulatory changes and industry practice, including SA CCR and margin requirements.
Job details
- Organisation
- Absa
- Location
- Sandton, Gauteng
- Job type
- Full time
- Experience level
- Junior (1+ years)
- Education
- Bachelor
- Category
- Banking & Insurance
- Posted
- 27 October 2026 (1 week ago)
- Application Method
- Apply online
Success Guide
This role is a great fit if you have a quantitative degree and a year or two of experience in derivatives or risk. When you apply through Absa's careers site, tailor your CV to highlight any work with PFE, MTM, stress testing or risk systems like Sigma or QlikView. Even university projects or internships involving derivatives or data analysis can count, so mention them clearly. In interviews, expect questions on counterparty credit risk concepts such as netting, collateral and margining, plus technical questions on Excel, SQL or Python. Be ready to explain how you would investigate an exposure limit breach. Absa values clear communication, so practice explaining technical ideas simply. Good luck!
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