Job purpose description

To monitor and report the quantum of market risk carried on Banking and Trading Book portfolios for Rest of Africa (ROA), banks within the ROA Asset and Liability committee (Alco) approved risk appetite.

Measure all types of Market Risk effectively

• Compute the following market risk measures monitored against limits:
• Change in present value of 1 basis point (PV01) for measuring interest rates risk
• Delta for measuring FX (Forex) risk.
• Normal value-at-risk (VaR) for all trading and banking book portfolios that are marked-to-market
• Stress VaR to measure market risk under the stress period when market liquidity dries out
• Issuer risk exposures for measuring notional limits for bonds and equities given prevailing liquidity and the Credit spread PV01 for measuring credit risk on the trading book

Compile and produce market risk reports

• Compile and produce periodic Market Risk Reports and ensure they are produced in good time to meet deadline for each committee.
• Circulate daily market risk reports.
• Circulate Alco report 2 business days before the meeting.

Manage Market Risk effectively and escalate breaches to the relevant audiences

• Ensure that market risk consumed by the trading & banking operations is within the Alco approved appetite with limit breaches escalated to relevant audience using emails.
• Ensure that limit breaches are resolved within 24 hours of the breach occurring.

Calculate and Report on Market Risk Regulatory Capital monthly

• Calculate regulatory market risk capital for ROA banks at month-end for finance to report to the South African Reserve Bank, produce economic capital report on a monthly basis.
• Provide commentary explaining changes in output with respect to changes in trading positions.

Identify Market Risk

• Participate in the new business plan evaluation, new products committee and structured trade committee in order to identify market risk.

Qualifications

Minimum Requirements

• Undergraduate Degree in Business Accounting/Commerce/Mathematics

Experience

• 3-4 years experience and good understanding of the market risk function in as far as the control component, market risk measures. Knowledge of Global Markets Products and competency in interpreting data accurately with an emphasis on the processing and interpretation of numbers.
• This competency also includes the utilization of technology.