To ensure the development, implementation, and validation of quantitative models for liquidity and market risk measurement. Responsible for the analysis and evaluation of financial structures, including risk management/hedging. Responsible for valuation of financial markets instruments, including interest rate, inflation and currency derivatives.

Required to provide input into investment, funding, and risk management strategy development and implementation. Production of the monthly ALCO report and Daily BA325. Review of market risk, liquidity risk and interest rate risk related regulatory BA returns. Perform hedge effectiveness tests on relevant derivative instruments for the end of financial year reporting periods.

MINIMUM EDUCATION AND EXPERIENCE:

• Bachelor of Science (Mathematical Sciences/Actuarial Science).
• A senior Degree and (or) a professional qualification will be an added advantage.
• Financial Risk Management (FRM) will be an added advantage.
• Minimum 5+ years related experience in ALM, Treasury, or Balance Sheet Risk Management within banking of financial services industry
• Understanding of banking operations, processes and regulations
• Familiarity with business intelligence and data analysis tools such as Power BI, Tableau, SQL, SAS/Python or other similar software
• Deep understanding of quantitative analysis methodology and financial modelling techniques
• Ability to develop, validate, and maintain complex risk and behavioural models using statistical techniques
• Understanding and knowledge of relevant ALM/Treasury
• Market data systems (Bloomberg/Reuters), Visual Basic and SAS skills
• Ability to work with large datasets, ensure data integrity, and apply analytical techniques to extract insights
• Treasury ALM or Risk management experience essential
• Ability to work independently and manage multiple priorities
• Strong stakeholder management and business acumen

ROLE RESPONSIBILITIES:

Valuation of financial market instruments,

• Running the month-end processes and financial year- end audit processes.
• Valuation of financial instrument (inflation, Nominal and inflation bonds)
• CVA, XVA and DVA calculations
• Understanding of pricing of derivatives instruments such as forwards, Options, Interest Rate swaps, Currency swaps, Futures.
• Performing hedge effectiveness tests on relevant derivative instruments for the end of financial year reporting periods

Regulatory Reporting

• Design and production of monthly reports for regulatory reporting and accounting purpose
• Attending monthly, annual and ad-hoc meetings with PA supervisory team and capital/liquidity specialists, respond to PA queries
• Monitoring and maintaining internal trigger mechanisms, including reference to the Bank’s capital and liquidity policies, and external regulatory requirements, liaising with the senior management team as appropriate

Development and maintenance of quantitative and MI models for measurement and optimisation of the bank’s funding cost.

• Document, develop and maintain
• credit risk models for Treasury assets required for internal and external reporting
• valuation model for Treasury assets required for internal and external reporting
• Asset and liability pricing models
• Behavioural modelling (including prepayments) for credit assets
• Behavioural and roll over models for transactional and term deposits
• Custodian of ICAAP and Recovery planning models
• Presenting model updates and new models to the Model Risk Committee
• Maintain Power BI models for Treasury and BSM
• Training junior staff in model development and MI analytics
• Introduce AI models to support automation of various processes, model development and MI

Balance sheet optimisations and Capital management

• Run income projections in the planning and dynamic forecasting process, with supporting analysis as required
• Manage the FTP methodology definition and calibration to adapt to strategy and participate the pricing committees.
• Transaction analysis and projections (maturity profile, IRRBB, counterparty credit analysis); act as a monitoring check on the Treasury activity
• Assist with capital re-investment and portfolio management in line with Group frameworks and guidelines
• Evaluate new business proposals from a capital and risk-adjusted return perspective
• Monitor and calculate risk-adjusted returns for existing business initiatives.

ALM Risk management strategy execution and managing risk limits

IRRBB

• Review the balance sheet, including non-customer positions, to identify interest rate risk exposures and parameterise these in the ALM system.
• Support the ALCO agenda by contributing to IRRBB analytics and proposals
• Work with the business to evolve behavioural modelling on assets and liabilities, to inform interest rate risk measurement and liquidity treatment
• Contribute to the ongoing development of central hedging programmes, including structural hedging of IRRBB

Liquidity Risk

• Review ALM models and indicators limits on an regular basis.
• Manage bond portfolio within approved parameters – PV01, durations and rebalancing portfolio as required.
• Monitor and analyse funding needs and treasury position, anticipate liquidity capacity by participating to analysis of new investment product and new business initiative.
• Support Treasury activities for liquidity management and ad-hoc ALM related requests.
• Keep an updated view on regulations and support the business with regulatory changes or any relevant needs.
• Produce the monthly ALCO report and perform ad-hoc tasks to support the ALCO strategic actions.
• Oversee the daily/monthly reporting of the structural risks and liquidity risk of the balance sheet, analyse and explain the ALM indicators (NPV, IRRBB, NIM, PV01, FTP, liquidity).
• Monitor the ALM indicators versus granted limits and propose adequate actions to prevent any limit breached to ensure compliance with the relevant ALM management framework.

ALM-Systems

• Analyse and interpret output and reports generated from the ALM system to ensure qualitative and quantitative accuracy for presentation to and application by the Treasury and ALCO functions.
• Assist with the development and maintenance of rule sets and assumption frameworks within the Sun Gard Focus system for reporting according to regulatory and statutory requirements (such as the Banks Act, IFRS, ALCO)
• Collaborate with the functional owners within Treasury Management to optimize and enhance the ALM reporting
• Assist with defining reporting requirements using the functional mapping template completed by functional owners in Treasury for each of the output required
• Development and Implementation in the ALM system of the requirements specified in the functional mapping template
• Assist in documenting and maintaining system processes
• Report on common sources of technical issues encountered and make recommendations to the functional owners
• Assist in collaboratively finding solutions to remedy issues encountered
• Constantly be on the lookout for ways to improve monitoring, discovers issues and deliver better value to the functional owners

ICAAP and Recovery Planning

• Leading the team’s production and development of financial stress testing to support internal risk management as well as annual ICAAP and Recovery Plan production.
• Stress testing – Assist with the designing stress test as it relates to the ICAAP, Recovery Planning or ad hoc testing.
• Co-ordinate and project manage the various inputs required from other departments.
• Incorporate any feedback from the SARB into iterations of the plans.
• Assist with coordinating and managing Liquidity Simulations

Seniority level

• Seniority level

  Associate

Employment type

• Employment type

  Full-time

Job function

• Job function

  Finance

• Industries

  Banking

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