Senior Risk Analyst – Non-Traded Market Risk

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Absa is committed to creating an inclusive workplace where everyone can thrive. We are an equal opportunity employer and welcome applications from suitably qualified individuals from diverse backgrounds. In support of our Diversity, Equity, Inclusion and Belonging (DEIB) commitments and Employment Equity objectives, preference may be given to candidates from underrepresented designated groups, including persons with disabilities. We encourage applicants who may require reasonable accommodation during the recruitment process to let us know so that appropriate support can be provided.

Job Summary

Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal ABSA Policies and Policy Standards. Understand and manage risks and risk events (incidents) relevant to the role.

The jobholder will be an integral team member in providing risk oversight and management of risk exposures and influencing key business decisions, mitigating risk exposures, protecting and creating value across IRRBB.

The jobholder will support the monitoring and measurement of all IRR, FX and related residual risk the active and passive portfolios, risk appetite framework and development of risk methodologies to cover emerging risks (in either Market Risk or Operational Risk).

Job Description

Accountability:  Risk Oversight

• Ownership and support of monthly product area Risk forums for Group Treasury, developing key relationships with stakeholders to improve management of risk.
• Assessment and monitoring of other risks fair value volatility, AFS market risk and FX risk.
• Work with and influence Product teams to structure products and identify effective hedging solutions to new products, within agreed risk appetite including structural hedging strategy review.
• Perform daily, monthly and quarterly risk and control assessments front to back for allocated business.
• Facilitating and/or providing input to Business related committees and forums as well as any other Absa Capital and/or Group committee. To run and support regular internal meetings and producing MI.
• Develop supplementary risk models to ensure a comprehensive assessments of all market risks, and to ensure continuous improvement on models and measures.
• Support the NPA and STR process within the requirements of the IRRBB policy and risk appetite framework.

Accountability:  Risk Appetite and Infrastructure

• Support IRRBB requirements within in the Group QRM rollout project.
• Ensure businesses are aligned to governance framework and define risk appetite.
• Ad hoc projects e.g. Review of ABSA Group wide IRRBB, FX Risk and framework.
• Be a part of the cutting edge implementation of worldwide regulatory change as required for the risk area.
• Full and detailed engagement with regards to Regulatory Change (such as The Fundamental Review of the Trading Book)

Accountability:  Risk Measurement

• Application of risk measures (e.g. PV01, DVaR, EVE, AEaR and EC) and management of drivers and development of new risk measures where appropriate.
• Measurement of market risk within the IRRBB framework and embed a monitoring and risk management framework.
• Develop supplementary risk models to ensure a comprehensive assessments of all market risks, and to ensure continuous improvement on models and measures.
• Governance - understand the policy, framework, challenge and enhance the existing framework, customize for Absa Group and obtain approval from Group where necessary etc.); Ensure adherence to Group Policy.
• Understand ABSA Group policies.
• Deliverables (coordination, timing, quality assurance, submission within deadlines etc.). Reporting on framework elements.
• Ensure training and awareness across the area of influence.
• Keep training material, policies and process documents up to date and readily accessible

Accountability:  Communication

• Add value through risk management throughout the business through pro-active stakeholder management and credible representation at regular senior level committee/meetings.
• Maintain a professional relationship with all stakeholders, inter alia, Absa Group Risk, Absa Group Regulatory Reporting, Finance, PCG  and other Absa departments.
• Engagement with Group Technology to enhance and extend the STP reporting solution.
• Proactively find value-adds to the market risk team and business.
• Timely escalation of potential issues to relevant stake holders.

Accountability:  Stakeholder Management

• Lead by example in building strong internal and external relationships, displaying excellent abilities to initiate strategic dialogue and listen, advise, influence, negotiate and make presentations at all levels.
• Manage business needs and expectations by managing satisfaction levels and being available, affable and able to honour commitments without over-promising (ensure optimal balance between response time and quality of work in circumstances where this is agreed with the business).
• Work in a department with a focus on proactive approaches to add value to the Treasury banking business.
• Timely escalation of potential issues to relevant stakeholders.
• Design a Risk Framework that complies with the requirements of the various internal (e.g. senior management) and external stakeholders in order to ensure continued compliance and relevance. The framework should contain all the components that are required by the various regulatory requirements.
• Develop methodologies, tools, systems, procedures, processes, standards and guidelines in line with the above requirements.
• Review all documentation on an annual basis in order to maintain the changing stakeholder requirements.
• Continuously conduct research and review the framework, including all of its components, to ensure that best practices are built into the framework and that the framework remains relevant at all times.
• Socialize, review and/or validate the framework and changes to the framework, including all components thereof with the relevant stakeholders whenever changes occur.
• Where changes to the framework are of such a nature that they materially impact the framework, inform the relevant regulator and where relevant, seek approval from the relevant stakeholders, prior to implementation.

Accountability:  People Management

• Responsible for championing, reviewing and assessing the quality of work carried out to ensure highest professional standards are maintained and continually exceeds value and expectations.
• Motivate employees in the team and ensure their efforts are recognized.
• Supporting team members in development and training needs.
• Promote living the Absa values by ensuring that all practices are in line with these values.

 Preferred Education

• Bachelors degree is Commerce, Finance or Risk Management, Statistical or Mathematical. Post graduate degree preferential.

Preferred Experience

• 5-10years experience in Market Risk, Middle Office or CIB Finance/Product in an Investment Bank (preferential)

Knowledge and Skills

• High level of numeracy and lateral innovative thinker.
• Have the ability to review and assess market risks and recommend appropriate risk management techniques.
• Pricing and testing of derivatives products across different asset classes.
• Problem solving.
• Programming in Python supported by AI tools (advantageous)

Education

Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)