Asset and Liability Manager

4 days ago


Johannesburg, South Africa THE SKILLS MINE (PTY) LTD Full time

**Qualification/s Required**:

- A qualified actuary or CA preferable with a min. of 7 years’ experience in a major financial services institution, 5 years of which in a Treasury Banking/Capital Markets function.

**Experience Required**:

- At least 5 years’ experience in a Treasury Banking/Capital markets function within a banking or investment management institution, specifically in ALM i.e., techniques and practices
- Experience operating at a senior level and building relationships with ALCO and Executive level stakeholders, internally and externally
- Experience leading a major change management initiative within an organization
- Experience in the preparation and reporting and presentation of risk metrics to the ALC

**Banking Book**
- Deep understanding of NII, EVE, market value, EaR and VaR
- Good knowledge of market risk and hedging instruments, including IRS and FEC’s.
- Good knowledge of ROE best practice i.e. Capital allocation, Credit, Reserving (Cash and Prudential cost recovery) and FTP (cost of funding, NSFR and LCR)
- Formulation and maintenance of key framework policies pertinent to the ALM function
- Proactive management and hedging of the bank's entire interest rate risk exposures in line with policy and risk appetite.

**Trading Book**
- Formulation and maintenance of the Trading Book policy
- MtM accounted

**ALM system**
- Advanced proficiency in excel, program languages and implementation of an ALM system
- Strong quantitative skills, comfortable building models, managing large amounts of data, and analyzing the output to identify trends or present solution



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