Macro-prudential Specialist

3 weeks ago

Pretoria, South Africa South African Reserve Bank Full time

-The main purpose of this position is to lead the development and implementation of stress-testing frameworks in order to promote stability in the financial system. This includes a quantitative analysis of potential systemic risks and advising policymakers on the soundness of financial institutions under stress scenarios.
-Detailed Description

Contribute to the development and implementation of top-down and bottom-up stress-testing frameworks (methodologies, processes, models etc.).
- Conduct stress-testing exercises and report the results to policymakers.
- Conduct research to inform the assumptions and relationships that underpin the relevant models.
- Conduct research on macroeconomic stress-testing and possible financial stability risks to enable the early detection of systemic vulnerabilities and provide thorough reports on the findings.
- Build econometric models to stress-test the resilience of financial institutions.
- Contribute to the development and implementation of monitoring frameworks for systemic risk in domestic financial institutions.
- Prepare briefings and presentations on stress-test results, research findings and economic analysis, and present these to internal and external stakeholders.
- Deliver work independently and determine deliverables from a range of prescheduled and ad hoc team responsibilities.
Job Requirements

the minimum of an Honours degree (NQF 8) in Econometrics, Economics, Mathematics or Statistics, a partial qualification in Actuarial Science, or an equivalent qualification; and
- the minimum of five years of job-related experience with a background in stress-testing, model development and/or quantitative analysis of systemic risk in the financial sector.
The following would be an added advantage:

experience in relevant programming languages (e.g. Matlab, Python, R);
- significant progress with Actuarial Science examinations; and/or
- proven experience in insurance regulation.
Additional requirements include:

an understanding of stress-testing of the insurance/banking sectors or a similar environment;
- knowledge of the insurance and banking regulatory frameworks and international standards;
- sound knowledge of economic and financial theories as well as macroprudential policies;
- experience with macroeconomic and/or microeconomic modelling;
- proven facilitation and presentation skills;
- experience in project management;
- experience in risk management;
- the ability to manage time and work on multiple projects simultaneously;
- excellent interpersonal skills;
- excellent communication skills (verbal and written); and
- proficiency in the use of Microsoft (MS) Office products such as MS Word, Excel and PowerPoint.
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The SARB offers remuneration and benefits commensurate with the level of the position and in line with the market. The level at which the successful applicant will be appointed will depend on his/her competence and experience.

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