Senior Specialist: Alm Modelling

2 weeks ago


Johannesburg, Gauteng, South Africa Nedbank Full time
Job Family- Risk, Audit and Compliance- Career Stream- Enterprise Wide Risk Management

  • Leadership Pipeline
  • Manage Self: Professional

Job Purpose

  • To assist with the overall development of a stronger, robust, more enhanced, agile, integrated Balance Sheet Management (BSM) solution used to measure, monitor, and manage risk metrics within the Balance Sheet Management Division

Responsibilities:


The key output / deliverable of the role will be to make a meaningful contribution towards the development and roll-out of a fully integrated BSM solution, designed to produce detailed risk management reports across all the different risk disciplines within the Balance Sheet Management Division, while meeting risk data requirements and the need to move towards aggregated and consolidated risk reporting covering both the domestic and foreign operations.


Specifically, outputs are listed below:

Liquidity & Interest rate model solutioning:

  • Liquidity risk: Contractual Mismatch, Business as Usual Mismatch, Stress Mismatch, Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), Concentration of Deposits, Available Sources of Stress Funding (ASSF), Off Balance Sheet
  • Interest rate risk: Repricing Gap, NII, EVE
Model development within the BSM solution
Perform analysis to establish root cause issues, verify accuracy and robustness of the model
Enhancement of systems and processes to ensure streamlined and effective delivery of outputs.

  • Essential Qualifications
  • NQF Level
  • Professional Qualifications/Honour's Degree
  • Matric / Grade 12 / National Senior Certificate


Preferred Qualification
  • Chartered Accountant CA (SA); B.Comm or B.

Sc degree with financial & risk management, examples:

  • Financial Management Sciences
  • Economics with Risk management
  • Investment Management
  • Quantitative Finance
  • Quantitative Risk Management
  • Financial Risk Management (FRM)

Technical Competencies

  • Detailed knowledge of BASEL III
  • Strong financial management skills
  • Detailed knowledge of banking products
  • Strong Excel skills
  • Good communication skills
  • Quantitative Modelling Experience
  • Problem Solving Skills
  • Reporting


Minimum Experience Level
  • Years of experience: 2 or more years' experience within a risk environment in the banking industry, ideally in a balance sheet management role with liquidity risk management, Interest rate risk and or ALM modelling exposure.

Technical / Professional Knowledge

  • Business Acumen
  • Business writing
  • Cluster specific operations
  • Communication Strategies
  • Data analysis
  • Financial markets
  • Governance, Risk and Controls
  • Industry trends
  • Principles of project management
  • Relevant regulatory knowledge
  • Relevant software and systems knowledge
  • Research methodology
  • Decisionmaking process
  • Funding, Liquidity and capital mannagement frameworks, Policies and methodologies


Behavioural Competencies
  • Communication
  • Continuous Learning
  • Decision Making
  • Facilitating Change
  • Influencing
  • Technical/Professional Knowledge and Skills
- **_Please contact the Nedbank Recruiting Team at _

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