Manager: Liquidity and Market Risk Management

2 weeks ago

Johannesburg, South Africa Affirmative Portfolios Full time

**JOB OUTLINE**

**Manager: Liquidity and Market Risk Management**

**JOHANNESBURG NORTH**

**Department** - Group Risk / ALM & Market Risk

**Reporting** to the Head: ALM and Market Risk

**Overview**:
A permanent position exist within the ALM and Market Risk Department for a Manager: Liquidity and Market Risk Management, reporting to the Head: ALM and Market Risk

**JOB PURPOSE (A statement of the reason for the position’s existence. A summary of the role of the position)-**

ALM and Market Risk Department is a function within Group Risk Division, dedicated to providing independent oversight of the Corporation’s business activities, serving as a second line of defense to ensure that the size, complexity and composition of the Corporation ’s liquidity resources are adequate in amount and quality. Key to the role is the responsibility for independent oversight and monitoring of the Corporation ’s overall trading, funding and financing businesses, liquidity risk limit setting, risk assessment and analysis, and management and fiduciary reporting, including adherence to applicable regulatory requirements and set risk appetite levels. Secondary, the role deals with management of the interest rate risk in the Banking Book (IRRBB) as well as Foreign Exchange (FX) risk related activities. Thirdly, quantification of market risks as well as the cost of equity and the share-price forecasting adds to the role. Lastly, validation of model in line with best practice.

MAIN DUTIES AND RESPONSIBILITIES - Assist to develop risk management policies and procedures, set the operating limits in relation to Liquidity, IRRBB, FX and Equity Price risks;
- Assist and coordinate with IRRBB, FX, Equity Price and Liquidity risk teams on calculation and reporting of revelant metrics periodically in accordance with the policies and the Corporation's risk appetite level;
- 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;
- Assess and analyse risk of the equity portfolios and forecast share prices earnings and volatilities using applicable models;
- Use Multi-Factor Models to model and measure the cost of equity;
- Identify risks within portfolio, what portfolio management decisions or exogenous events resulted in the risks, and the potential mitigation strategies that could be implemented, if warranted, for eliminating or resizing the risks;
- Monitor and enhance early warning indicator methodology to incorporate market developments and organisational evolution;
- Maintain data and enhance the Balance Sheet Management System process flow;
- Verify data and information from different providers to ensure the reliability of inputs to ALM models and analytics;
- Perform liquidity forecasting, including back-testing, and coordinate with key stakeholders;
- Collaborate with the relevant business units and departments to model alternative capital allocation and funding strategies, and propose suitable courses of action to achieve an optimal balance sheet structure;
- Research and propose steps aimed at optimising the balance sheet structure and ensuring on-going compliance with liquidity and market risk appetite. - Assist in enhancing the macroeconomic stress testing programme used to measure the combined financial impact of credit-, market
- and liquidity risks under various scenarios;
- Assist in the validation of models and improvement of the corporation’s models and analytics to address identified shortcomings in the quantification of market, liquidity and model risks;
- Devise innovative ways to identify key risks/concentrations and implement processes to actively monitor these risks;
- Assist in the formulation, proposal and implementation of mitigating actions and/or contingency plans based on liquidity risk assessments;
- Ensure appropriate escalation of limit, target or trigger breaches;
- Assist in planning, preparing and coordinating internal stress testing exercises;
- Identify, assess, monitor and disclose ALM and market risk-related information, as well as
- representing the department in meetings with internal and external stakeholders;
- Perform other ad hoc duties from Senior Managers or Head from time-to-time; and - Assist in preparing high quality reports to ALCO, EXCO, Board and external stakeholders.

**JOB REQUIREMENTS**:
QUALIFICATIONS - 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

**KNOWLEDGE AND EXPERIENCE (Formal qualifications, knowledge, type and length of experience and skills required to perform the job competently)**

- 3+ years’ working experience within financial institution(s), with exposure in liquidity/funding risk, treasury, asset & liability management or

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