Xva Market Risk Head

2 weeks ago

Johannesburg, South Africa FirstRand Full time

Job Description

To ensure oversight and management of market risk by defining and measuring adherence to risk appetite, limits and loss tolerance levels as a subset of the overall markets financial risk appetite, and ensuring support on aggregating risk appetite across these risk types.

To manage and supervise the operation of Market Risk Department in terms of interest rate risk management, liquidity management and behavioral modelling within the policies/procedures established by regulators, in order to ensure that potential losses to the Bank due to changes in market conditions are within the admissible limits.
- The Head of Market Risk role for the XVA and Structured Trading areas in Markets has accountability for oversight and management of market risk across the Markets XVA and structured trading areas (including Structuring, Secured Financing, Structured Credit and Structured Equity Derivatives) by defining and measuring adherence to risk appetite, limits, and loss and earnings volatility tolerance levels as a subset of the overall RMB risk appetite.
- Identification, measurement, mitigation, and reporting of market risk exposures within the bank’s Trading and Banking book. The risk classes to be responsible for include among others: - general market risk, interest rate risk affecting both Trading and Banking books, foreign exchange rate risk, liquidity risk and contingency planning, commodity price risk, derivatives risk and general investment risk coupled with provision of support to the ALCO processes.
- Strengthen and manage the trading and market risk control interface with the traders and related functions including execution, middle office, and operations; including the risk limits and monitor the actual positions/Var/PL against limits.
- Ensure that adequate limits to manage interest rate and liquidity risk are set and approved on at least annual basis by local ALCO and that resulting market risks are properly calculated, reported, and managed in order to keep the potential losses due to changes in market conditions (interest and foreign exchange rates, credit spreads, behavioral assumptions) within admissible limits.
- Inform the relevant committees about the market risk position of the Bank and propose the management actions in order to allow senior management to steer the Business according to Strategy within the earlier agreed risk appetite statement.
- Ensure that market risks are understood and taken forward by various parties in the Bank. Implement forward looking market risk management approach (strong planning, sensitivity analysis, RAS forecasting) and ensure development/ maintenance of market risk models in order to adapt smoothly to the fast changing internal/external environment and ultimately save money for the Bank. Coordinate the work of the market risk management team with strong focus on people management in order to grow motivation, competencies and professional development of the team members. Ensure continued compliance with regulatory requirements and the Bank policies and minimum standards.
- Develop, document and review of all the relevant Market Risk and Derivative policies.
- Be responsible for the development and communication of the Market, Liquidity and Derivative Risk appetite and monitoring reports.
- Develop, monitor, report and review SLAs between Market Risk and its partner departments: Treasury, Foreign Treasury Services, Finance and Subsidiaries.
- Develop and prepare Market, Derivative Risk, and Liquidity Risk Stress test and presentation of the results.
- Coordinate the preparation of the pertinent market and derivative risk monitoring reports leveraging information sourced from Treasury, FTS, Finance.
- Analyze these reports with the team and compile the pack for dispatch to the ALCO members for their review before the meetings.
- Daily monitor Market Risk, Derivative Risk and Liquidity risk performance metrics/ratios against limits set under advice to senior management. The process will also involve giving recommendations in the form of scenarios to effectively manage market risk and revert liquidity back to normal in the event of breaches or anticipated breaches.
- Obtain exceptional approvals on potential breaches from Treasury or report limit breaches in accordance with the defined escalation hierarchies.
- Analyze and prepare Asset Liability Committee (ALCO) reports for Asset Liability Management (ALM) ad hoc or at least monthly.
- Follow up on issues raised in ALCO with the relevant business units to ensure resolution and provision of feedback to the committee.
- Administrative duties such as representing the unit in cross-functional business meetings provision of on job training to colleagues, preparation of process flows etc.
- Provide leadership and coaching to the Market Risk staff.
- Attend relevant training on emerging trends and practices within Market and Derivative Risk fields.
- Network within the profession and relevant associations

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