Head of Traded Market Risk Analytics

19 hours ago

Sandton, South Africa Absa Bank Limited Full time

Bring your possibility to life Define your career with us
- With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.Job Summary

Responsible for the overall management of traded market risk within established frameworks, appetite and limits by ensuring that traded market risks are identified, measured, managed, reported and challenged. The individual will be the central point of contact for the business regarding the measurement, limit setting and monitoring of traded market risk.

Specifically the role will be responsible for the oversight of Market Risk in the Fixed Income, Non-Linear Derivatives, Foreign Exchange, Commodities and Equities businesses along with the associated risk management models (including the Value at Risk model).

**Job Description**:
Accountability: Market Risk Oversight

Risk evaluation
- Ensure that all traded market risk is identified per defined risk categories, which also serve as basis for risk control and monitoring/reporting, and review applicability of risk categories.
- Own existing measurement methodologies and recommend improvements where necessary. Identify new methods that should be considered based on recent publications, market best practice or regulatory changes.
- Work with business risk owners to determine appropriate market risk limits based on continuous assessment of market volatility, liquidity and the economic environment and considering mandate and scale limits, in line with the Group approved risk appetite.
- Continually challenge the technology environment to ensure it supports effective risk identification and interrogation of data

Risk Monitoring
- Develop and maintain familiarity with key positions held, risk concentration, changing business and trading strategies. Challenge Front Office senior management regarding positions taken and potential P&L impact given market conditions and regulatory developments.
- Oversee that risks are measured in accordance with agreed standards as applicable to the bank, and participate in the development and review of risk measurement standards
- Establish appropriate risk monitoring standards, and monitor risk exposures against limits, highlighting and challenging risk concentrations and exceptions.
- Provide high quality, audience appropriate risk commentary to Front Office, senior management of CIB and the Group as required.
- Ensure that risk monitoring and reporting remains valid and relevant, ensuring key areas of risk are highlighted
- Have a keen understanding of the impact of the economic / market environment and the risk profile on profit & loss.
- Have a good understanding of the strategy of the business, and thus the changes in the risk profile that could be expected.

Risk Response
- Provide advice and expertise to assist business in optimising risk and capital profiles within agreed framework and appetite.
- Continually support the team in managing risk through insight, data interrogation and product/strategy deep dives.
- Monitor material changes and movements in portfolio risk exposures and report via relevant oversight committees. Effectively communicate changes and raise any concerns to relevant stakeholders.

Accountability: Origination, execution and monitoring of deals
- Participate in technical committees analysing and reviewing market risk impacts of new, complex or large deals
- Consider both the short and long term impacts on own and other areas in terms of transactions under review and provide appropriate challenge to Business.
- Approval of certain STRs and NPAs on behalf of the Head of Market Risk up to a pre-specified levels in terms of deal size and complexity

Accountability: Stakeholder and relationship management
- Manage business needs and expectations through effective stakeholder engagement
- Collaborate with business but maintain a strong level of independence.
- Continually interact with Front Office staff (daily) to discuss risk profile and appetite and provide meaningful challenge.
- Build strong relationships across the organisation in order to identify synergies and optimally leverage relationships, knowledge, services and resources to provide superior solutions.

Accountability: Effective leadership and people management
- Provide leadership, direction and decision-making to Traded Market Risk Analytics (MRA) team and ensure they have the skills to provide solutions to stakeholders.
- Develop and drive a people strategy to attract, identify, retain and develop the MRA team
- Ensure appropriate levels of management and accountability within the team
- Coach, mentor, empower and upskill team members and identify training opportunities to build up the depth within the team and encourage people to continue stretching their boundaries and develop their own leade

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