1046) Alm Risk Analyst

2 days ago


Pretoria, South Africa South African Reserve Bank Full time

**Brief description**

The main purpose of this position is to ensure that the Risk Support Department (RSD) discharges its responsibilities arising from its mission insofar as asset and liability management (ALM) related risk management is concerned. This includes being part of a team of risk specialists in the RSD responsible for providing specialist knowledge, skills, and experience in ALM-related risk supervision and regulation, specifically relating to liquidity risk and interest-rate risk in banking companies.

**Detailed description**

**Supervision**
- Review and evaluate banks’ ALM frameworks and reports (including assessing their capital requirements for regulatory and economic capital, where applicable) and their ability to manage ALM-related risks, specifically liquidity and interest-rate risk in the banking book.
- Review and evaluate insurance firms’ ALM frameworks and reports and their ability to manage ALM-related risks.
- Provide expert guidance on matters relating to compliance with minimum regulatory requirements relating to ALM for supervised institutions.
- Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
- Conduct on
- and off-site reviews of ALM-related risks for the banking and insurance sector.
- Provide specialist support with respect to ALM-related risks within the Prudential Authority (PA).
- Stay abreast of international best practices and developments surrounding ALM-related risks.
- Assist and contribute to the assessment of recovery plans compiled by supervised institutions.
- Inform the PA regarding the aggregate behaviour of banks regarding ALM-related risks.

**Regulation**
- Assist in terms of research and input into the regulatory framework (e.g. the Banks Act 94 of 1990 (Banks Act), the Regulations relating to Banks, circulars, directives and guidance notes) in line with international best practice.
- Assist with the development of internal policies and processes for supervising ALM-related risks.

**Training**
- Ensure widespread understanding of the concepts and developments in the fields of the above-mentioned risks throughout the PA.


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