Asset and Liability Manager

Recruiter:

The Skills Mine

Job Ref:

301451242

Date posted:

Friday, April 8, 2022

Location:

Johannesburg, South Africa

SUMMARY:
-

JOB DESCRIPTION:

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.

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 ALC

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 solution

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Asset and Liability Manager

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