ALM Risk Manager

at  Rand Merchant Bank

Rand Merchant Bank (RMB), a division of FirstRand Bank Limited, is a leading African corporate and investment bank and part of one of the largest financial services groups in Africa. We offer our clients innovative, value-added advisory, funding, trading, corporate banking and principal investing solutions.
We are recruiting to fill the position below:

JOB DESCRIPTION

• The Governance Framework for the Management of ALM Risk (i.e., Liquidity Risk, Currency Risk, and Banking Book Interest Rate Risk) provides the governance principles aimed at creating a robust process to assess, measure, monitor, and report these risks.
• RMB Nigeria’s (“RMBN’s”) Group Treasury is the extension of FirstRand Bank’s Group Treasury and is responsible for the implementation of the Framework in Nigeria.
• RMBN’s Treasury team is also responsible for the management of the bank’s capital to ensure its adequacy under business-as-usual and stress conditions, capital management risk is therefore a key component of this role.
• For the purpose of this document, reference to ‘risk(s)’ means, ALM and capital management risk, which are also jointly referred to as ‘Treasury Risk’.

EXPERIENCE AND QUALIFICATIONS

• A Degree in Accounting / Finance / Maths / Statistics or related field with a strong quantitative bias.
• At least 5 years of experience in asset/liability management or risk management.
• CFA or FRM qualification would be an advantage.
• Thorough understanding of banking products and financial instruments.
• Thorough understanding of ALM management and an understanding of ALM and Capital specific regulations (e.g. Basel reporting standards)
• Knowledge of risk measures and practices (e.g., PV01, VaR, EaR (NII sensitivity).
• Thorough understanding of governance and control frameworks .
• Capable of analysing complex concepts and translating these into simple and concise narratives for management.

The following competencies are required for the job:

• Strong analytical skills
• Strategic thinking
• Excellent communication skills (verbal, presentations and written)
• Passionate / energetic
• Work well under pressure
• Self-starter / able to work independently
• Team player
• Strong interpersonal skills
• Commitment to excellence
• Time management.

The following responsibilities & key performance areas are required for the job:

• Frameworks, Policies, and Mandates for the management of Treasury Risks:
• Responsible for the establishment and maintenance of frameworks, policies and committee (i.e., ALCCO) mandates.
• Ensure full compliance with Group standards and regulatory requirements associated with funding and capital (LAR, CRR, LCR, NSFR, CAR.)
• Propose risk limits, ensuring that portfolio mandates are in place across and in line with risk appetite.
• Research best practice and make recommendations on implementation of new developments and improvements in risk management processes.

Governance & Compliance:

• Monitor risks and ensure that the exposure and utilisation is in line with the risk limits.
• Ensure that mandate and limit breaches and non-compliance thereof are escalated to appropriate forums.
• Ensure implementation of Basel III requirements across all portfolios.
• Ensure adequate governance processes are in place (frameworks and regulations).
• Ensure coordination of Internal and External Audit engagement.

Risk Analytics and Measurement:

• Ensure that an appropriate control framework is in place to ensure the accuracy and completeness of Treasury risk metrics.
• Develop new and optimise existing strategies for the management of risks.
• Guide and implement a repeatable, dynamic stress and forecasting process in line with Group’s guidelines, regulatory requirements and best practice.
• Drive and implement the quarterly Internal Liquidity Adequacy Assessment Process ‘ILAAP’ (including the completions of all applicable reference documents).
• Perform an assessment and forecast the key reporting metrics and provide commentary that can be used to explain implications of the outputs and attribute movements.
• Continuously assess appropriateness of metrics and measurement methodologies.
• Drive and implement the annual Internal Capital Adequacy Assessment Process ‘ICAAP’ (including the completions of all applicable reference documents) and Recovery Planning Process (RRP).
• Review the stress testing of assumptions & BAU back testing results for each Treasury Risk.
• Perform impact assessments on proposed changes to regulations impacting on stress test outcome.
• Provide recommendations to the executive management on dividend payout and optimization of the RWAs for business units based on the ICAAP outcome.
• Analyze and monitor the currency risk on the balance sheet (banking book) to ensure the bank is immunized from adverse shocks.
• Manage and ensure compliance with the regulatory limits on Net Open Position.

Reporting & Communication:

• Co-ordination and production of the ALCCO pack sections and presentations relating to Treasury risks as well as facilitating and standardising the reporting into appropriate forums and frequency for both in-country and Group
• Coordination and submission of Key Management Process reports relating to Treasury risks in the banking book to the Board’s Risk & Compliance Committee
• Action ad hoc reporting and queries relating to Treasury risks reporting
• Communicate results of risk analytics and measurement to the Treasurer
• Co-ordination and production of the periodic ICAAP and ILAAP report.

Strategic Relationships:

• Responsible for the development and maintenance of strategic relationships with:
• Other Risk Type Owners
• Finance, Regulatory Reporting and Compliance
• Management committees (ALCCO, FRM)
• Regulator
• Group and in-country Research teams
• Group ALM Risk Management
• Group Capital management
• Group Exchange Control
• Develop and maintain relationships with Group peers to keep up to date with latest developments across FirstRand w.r.t risk frameworks, disclosure requirements etc.
• Industry liaison.