Asset and Liability Manager

Recruiter:

Mindworx Consulting

Job Ref:

JNB007470/MNT

Date posted:

Wednesday, April 6, 2022

Location:

Johannesburg, South Africa

SUMMARY:
The purpose of this position is to support the CFO, Treasurer, and business partners in the continuing development of programs and/or models that evaluate the organization's asset/liability strategy and monitor and report on IRRBB, Liquidity risk, FX risk, Market risk and Capital management on the Banking Book as well as Risk Management on the Trading Book (once the Trading Book has been established

JOB DESCRIPTION:

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 ALCO committee

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 solutions

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

Key Responsibilities:

Support the management of capital, liquidity, interest rate, hedging and other balance sheet risks via reporting against appetite and modelling forward-looking impacts and solutions
Work collaboratively with other functions (Treasury, Reg reporting, Finance and Risk) to manage the balance sheet optimally
Develop risk measures, scenario analysis, stress testing and mitigating actions, to ensure all material risk are identified, quantified, managed, and reported, including ILAAP/ICAAP/Recovery and Resolution Plans as required
Support the completion of Pillar III and responsible for submitting the ICAAP pack
Maintain, monitor and review capital and liquidity risk framework and limits and controls, policies and governance
Prepare timely, accurate and insightful ALCO reporting packs and other documentation and provide mitigations and potential actions to address such risks
Development and management of Financial Risk models (excel)
Deliver insightful analysis of actual and projected capital, liquidity and Funding resources and constraints, to the business
Support the implementation and maintenance of an ALM system
Responsible for the production and dissemination of the ALCO pack and ALCO minutes

Behavioural Attributes:

Proactive with strong problem-solving abilities
Resilient and agile
Pays attention to detail
Team player with strong verbal and experience with written communications and presentations at Board and Executive Committee level
Analytical thinker
Ability to work under pressure and within a deadline driven environment
Curious mind, eager to extend themselves to other treasury related tasks
Ability to take the lead on projects
Holistic approach to new information and processes
Ability to interact, influence and build relationships at all levels of seniority and across all functions with an organization

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Asset and Liability Manager

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