Manager, Counterparty Credit Risk Measurement

1 week ago

Sandton, South Africa Absa Bank Limited Full time
Bring your possibility to life Define your career with us

  • With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.
Job Summary


Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Risk Management Framework and internal Absa Group Policies and Policy Standards.

Understand and manage risks and risk events (incidents) relevant to the role.

Job Description:

Accountability:
System and Processes, Innovation and Projects

  • Investigate new and better ways to enhance processes by measuring the effectiveness of all procedures.
  • Continuously improve and automate reports and implement best practices as relevant.
  • Risk assessment of new products and new business initiatives to ensure all related market and valuation risk can be identified, measured, monitored and reported on all risk platforms.
  • Manage and contribute to firmwide projects around key counterparty credit exposure metrics & technical enhancements (PFE and XVA for risk)
  • Collaboration with legal and XVA team to ensure CCR mitigants are reflecting appropriately in CCR metrics
  • Work with QA, Pricing and Risk, Credit and other stakeholders to continuously review and enhance exposure methodologies and tools for CCR and PFE

Accountability:
Training and Stakeholder Education

  • Provide senior credit representatives insight into risking approach for material trades
  • Educate regional and local business representative on methodology and approach taken to calculate PFE
  • Explain impact of new trades to front office and provide advisory service to restructure trade pattern to facilitate trading within limits

Accountability:
Governance & Compliance

  • Produce regular management information to monitor trends and highlight variances
  • Ensure adherence to all relevant Absa and Group policies relating to derivative exposures
  • Coordinate testing and verification of risking models on an annual basis
  • Implement and oversee a control framework relating to all aspects of operations

Accountability:
Derivative Credit Exposure calculation and review

  • Support Front Office, Credit and Infrastructure staff with understanding of underlying exposures related to complex deals
  • Interact with fellow DCEM colleagues and Absa Market risk to gain consensus on calculation estimates for material trades
Address all aspects of derivative credit exposure relating to New Product Approvals (NPA) and Structured Trade Reviews (STR)

Education

Bachelor's Degrees and Advanced Diplomas:
Risk Management and Financial Risk Management (required)

  • Absa Bank Limited reserves the right not to make an appointment to the post as advertised_

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