Nedbank
Job Purpose
To provide high quality, timely, independent and objective market risk analysis and reporting in order to ensure that risk taking is within Nedbank Capital’s defined risk appetite, in line with the business strategy.
Job Responsibilities
Provide technical support in financial modelling.
Monitor and report risk in the Treasury environment and ensure rectification.
Manage data integrity required for accurate risk modeling and trend analysis for management decision making.
Prepare relevant internal market risk reports for management and provide appropriate training to ALCO and senior management.
Prepare regulatory and group market risk reports to ensure regulatory compliance.
Execute the Head of Market Risk and Basel Implementation’s responsibilities in their absence
Improve client service by assisting stakeholders with regards to processes/procedures, e.g. special deals, limit breaches, limit increases and answering any queries that the desk may have with regards to the processes/procedures
Identify limit breaches and profit & loss exceptions by reviewing and analysing exception reports
Provide quality and timely information by sending the regular reports to the front office and other stakeholders
Reconcile profit and loss exceptions with limit utilisations and resolve any queries timeously through regular analysis
Manage costs by ensuring that audit queries are timeously resolved
Maintain and build on existing client relationships through regular communication with front office
Contribute to overall performance of team by sharing knowledge with the team
Establish and maintain sound working relationships with external stakeholders e.g. regulators through regular and timeous reporting
Gather data, validate it and send it to Nedbank BSM for QRM processing.
Populate IRR model and reconcile it with the cognos balance sheet.
Assess risk trends and relevance of IRR limits.
Resolve queries or issues raised by Nedbank BSM.
Analyse IRRBB model results and make recommendations to the Head of Market Risk
Use QRM reports to populate Liquidity Model and reconcile it to the Cognos Balance Sheet
Monitor Liquidity Risk ratios and escalate to the Head of Market Risk if there are any breaches
Assess Liquidity Risk limits and review the limits annually in line with market liquidity trends
Produce a weekly Liquidity Snapshot and escalate any issues to the Head of Market Risk
Work hand -in -hand with the QRM team and resolve any issues highlighted by Nedbank BSM
Analyse Liquidity Risk model results and make recommendations to the Head of Market Risk
Update the Liquidity Risk databases for RTGS and Deposits
Contribute to a culture conducive to the achievement of transformation goals by participating in Nedbank Culture building initiatives (e.g. staff surveys etc.).
Participate and support corporate responsibility initiatives for the achievement of business strategy (e.g.. Green Strategy).
Seek opportunities to improve business processes and systems by identifying and recommending effective ways to operate and adding value to Nedbank.
Policy Review and risk appetite limit reviews
Monitor relevance of interest rate, liquidity and foreign exchange risk policies and recommend reviews to Head of Market Risk and Financial Modelling.
Preferred Qualification
A Degree in Actuarial Science, Applied Mathematics or Statistics and further studies towards professional risk management qualifications.
Minimum Experience Level
2 – 3 years’ experience in market risk and/or quantitative analysis within global markets.
A sound knowledge of Treasury, retail and corporate banking products.
Strong analytical skills.
Market risk and capital managements: asset-liability management, scenario analysis, stress testing, liquidity risk, deposit modeling, interest rate derivatives pricing, investment securities.
An understanding of macroeconomics and current economic trends
Technical / Professional Knowledge
Business Acumen
Industry trends
Microsoft Office
Relevant regulatory knowledge
Business writing skills
Data Tools
Behavioural Competencies
Communication
Continuous Learning
Decision Making
Initiating Action
Building partnerships
Technical/Professional Knowledge and Skills