(263) Market Risk Analyst

2 weeks ago


Pretoria, South Africa South African Reserve Bank Full time

**Brief description**

The purpose of this position is to realise the responsibilities of the Risk Support Department (RSD) within the Prudential Authority (PA), which is housed in the South African Reserve Bank (SARB), in respect of the regulation and supervision of market risk, equity risk in the banking book, margin requirements and counterparty credit risk (risk types) emanating from the activities in which institutions falling under the supervisory scope of the PA participate.

**Detailed description**
- Understand institutions’ strategies and business models in the relevant environments to which the risk types relate.
- Monitor the relevant industry’s exposure to the risk types.
- Monitor industry compliance with the regulations governing these risk types.
- Benchmark institutions’ risk management practices with respect to the risk types management best practice.
- Evaluate institutions’ internal models for the management of these risk types.
- Provide specialist input with regards to the risk types to front-line supervision and policy development.
- Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
- Participate in capital/own fund requirement adequacy assessments.
- Contribute to risk-based meetings with representatives of institutions and their auditors.
- Conduct thematic reviews pertaining to the risk types.
- Inform RSD of the aggregate behaviour of banks pertaining to the risk types.
- Develop and maintain regulations and instructions governing the statutory requirements for the risk types.
- Develop internal policies and processes for supervising the risk types.
- Participate in international and domestic forums related to the establishment of regulations pertaining to the risk types.
- Ensure widespread cognisance and understanding throughout the PA of the concepts and developments in the field of the risk types.


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