JOBS: Market Risk Manager at Absa Bank Limited

Job Summary

Reporting to the Head of Market & Treasury Risk, this role is responsible for:

Ensuring that a sufficiently robust risk control framework around the business activity in Treasury & Markets exists so as to ensure that market and other risks undertaken by these areas are being adequately identified, managed, controlled, monitored, and reported in line with the relevant framework, policies, and standards.

Job Description

Accountability: Risk and Controls Management: Time split - 70%

Traded Market Risk Management:

• Familiarization with Front-Office dealing strategies/activities and products.
• A clear understanding of DVAR (Daily Value at Risk) or any other market risk measurement Methodology employed.
• Ensure calculation of Non-VaR metrics such as PV01 and Currency Net Open Positions locally and reporting risk position data to relevant stakeholders with commentary on large day on day movements as well as Operating environment risk factors.
• Sign off IR DVaR and FX DVaR metrics as generated by the Risk watch system.
• Investigation of any variations/excesses in DVaR results and reported to Absa Market Risk.
• Responsible for reconciliation of data between various systems such as Front Arena, Risk watch, and regulatory reporting systems as well as the implementation of other data quality checks.
• Carrying out Intraday NOP Limits Checks as per policy requirements.
• Carrying out simulations on large trades in the pipeline to establish the need for additional limits.

Treasury Risk Management:

• Familiarization with Treasury strategies/activities and products in the banking book.
• Preparation of Manual Input Files and update of parameter files for generating the MRA reports.
• Population and circulation of the Stress reports and EVE sensitivity report/metrics including review of QRM system output
• Investigate and comment on a large day on day movement.
• Preparation of Net Interest sensitivity reports and ensures reconciliations are completed with Finance BA610 reports.
• Review and challenge section H of the BA610 report and reconciliation to Balance sheet as well as provision of required regulatory commentaries.
• Provide necessary inputs to Decks for such forums as ALCO, Trading Risk Committee, Investment Committees, and Monthly Risk forum.
• Banking Book simulations and Review and challenge capital plan, capital adequacy forecasts, underlying assumptions, and changes to assumptions and forecasts.
• Review and agree stressed capital plan including assumptions and basis of preparation.
• Review and challenge/agree with internal capital limits and EWIs, including re-allocation, reductions, increases, and breaches.
• Review and challenge/agree on the recovery plan.
• Assess the suitability and performance of pricing, risk, and capital models working together with the Risk Policy & Strategy Head. Work with relevant groups to address material deficiencies.
• Completion and circulation of intra-month Liquidity Risk Assessment (LRA) reports.
• Support the Head of Market Risk in Review and challenge capital plan, capital adequacy forecasts, underlying assumptions and changes to assumptions and forecasts, Recovery Planning, Stress Testing, Risk Appetite setting, and Completion of the Internal Capital Adequacy Assessment Process (ICAAP).
• Support Head of Market & Treasury Risks with ad-hoc requests from various stakeholders.

Accountability: General Control : Time split - 20%

• Completion of Key Risk Indicator reports, RCSA testing, and Audit support.
• Ensure compliance with Market Risk standards and policies.
• Help refine existing Market risk procedures and process maps.
• Actively discuss business issues with the Head of Market Risk to promote/ensure compliance to policy and procedure.
• Develop/maintain good relationships with colleagues to ensure the achievement of business goals.
• Act as a role model and drive the pro-active application of Absa's guiding principles.
• Ensure effective performance management, development, and succession planning. 
• Project work to enhance current process flows and improve the system environment.
• Accountability: Systems maintenance and development responsibilities: Time split - 10%
• Help in implementing any new systems or changes to existing systems as may occur from time to time.
• Manage, develop and exploit market risk solutions, whilst at the same time ensuring internal controls are maintained in line with Group standards. 

Education and Experience Required 

• Bachelor’s degree preferably in a business-related field.
• More than 2 years experience in Market Risk, Treasury, Front Office, Middle Office, Finance, or Product Control in a financial institution, financial regulatory, or consulting companies.
• Experience in being able to produce high-quality work under pressure, prioritize work and meet deadlines.
• Proficient in MS Office (Word, Excel, PowerPoint, and Outlook) and the Internet.
• High level of analytical skill

Preferred:

• ACI-Financial Markets Settlement/Dealing Certificate.

Knowledge & Skills: (Maximum of 6) 

• Working knowledge of the banking environment, local and global markets.
• Excellent interpersonal communication skills (verbal and written communication).
• Stakeholder management skills.
• Analytical skills and Excellent MS Excel skills.
• Good understanding of the regulatory and control environment.
• Communicate well and make relationships work.

Competencies: (Maximum of 8 competencies) 

• Deciding and initiating action.
• Adapting and responding to change.
• Strong communication and influencing skills.
• Planning and organizing.
• Coping with pressure and setbacks.

Analytical skills.

• Relationship building and partnership approach.
• Delivering results and exceeding expectations.

Education

• Higher Diplomas: Business, Commerce and Management Studies (Required)