Manager: Liquidity and Market Risk Management
2 weeks ago
Our client in the public sector has an EE opportunity available for a Manager: Liquidity and Market Risk Management to be based in the Sandton area.
**Requirements**:
- Honours degree with excellent academic background in a discipline such as Statistics/Actuarial Science /Mathematics / Economics/ Finance/ Accounting/ Financial Engineering or equivalent professional qualifications in related quantitative disciplines
- 3+ years’ working experience within financial institution(s), with exposure in liquidity/funding risk, treasury, asset & liability management or financial risk management/market risk management / treasury investment
- Professional qualification in FRM, CQF, CFA or equivalent will be an added advantage
- Good technical understanding of liquidity risk, funding, IRRBB and asset & liability management models, financial products along with experience of managing key stakeholders
- A high level of numeracy and IT skills - ideally Excel, VBA, Matlab or R Programming, SQL
- Knowledge of Treasury risk systems
- Good understanding and knowledge of best practice techniques in the industry covering liquidity and financial risk management
- Good understanding and knowledge of regulatory environment (e.g. PMFA, Banks Act, Basel, Foreign Exchange regulations and other National Treasury regulations, etc.)
- Understanding and knowledge of Corporate Governance
- High competency in Excel and PowerPoint
KPIs:
- Assist to develop risk management policies and procedures, set the operating limits in relation to Liquidity, IRRBB, FX and Equity Price risks
- Calculate, analyse and report Earnings at Risk, Economic Value of Equity, Value at Risk, Net Open Foreign Position and associated liquidity and market risk exposures of the Corporation
- Use Multi-Factor Models to model and measure the cost of equity
- Maintain data and enhance the Balance Sheet Management System process flow
- Perform liquidity forecasting, including back-testing, and coordinate with key stakeholders
- Assist in enhancing the macroeconomic stress testing programme used to measure the combined financial impact of credit-, market
- and liquidity risks under various scenarios
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