(1046) ALM Risk Analyst at South African Reserve Bank

Detailed description

The successful candidates will be responsible for, among other tasks, the following:

Supervision

• Review and evaluate banks’ ALM frameworks and reports (including assessing their capital requirements for regulatory and economic capital, where applicable) and their ability to manage ALM-related risks, specifically liquidity and interest-rate risk in the banking book.
• Review and evaluate insurance firms’ ALM frameworks and reports and their ability to manage ALM-related risks.
• Provide expert guidance on matters relating to compliance with minimum regulatory requirements relating to ALM for supervised institutions.
• Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
• Conduct on- and off-site reviews of ALM-related risks for the banking and insurance sector. 
• Identify ALM-related risks by processing, reviewing and evaluating relevant applications from supervised institutions. 
• Provide specialist support with respect to ALM-related risks within the Prudential Authority (PA).
• Stay abreast of international best practices and developments surrounding ALM-related risks.
• Assist and contribute to the assessment of recovery plans compiled by supervised institutions.
• Inform the PA regarding the aggregate behaviour of banks regarding ALM-related risks.

Regulation

• Assist in terms of research and input into the regulatory framework (e.g. the Banks Act 94 of 1990 (Banks Act), the Regulations relating to Banks, circulars, directives and guidance notes) in line with international best practice.
• Assist with the development of internal policies and processes for supervising ALM-related risks.

Training

• Ensure widespread understanding of the concepts and developments in the fields of the above-mentioned risks throughout the PA.

Job Requirements

To be considered for this position, candidates should have: 

• a Postgraduate degree in Banking, Risk Management, Finance, Accounting or Auditing; and
• five to eight years’ applicable experience in the banking or financial sector or within risk management. 

The following would be an added advantage 

• applicable ALM-risk management experience;
• conversant in the Basel frameworks – related to liquidity risk and interest-rate risk in the banking book – at both a theoretical and practical level; and be abreast of best practices in ALM risk management;
• familiar with the liquidity risk and interest-rate risk in the banking book papers published by the Basel Committee on Banking Supervision;
• knowledge of the Banks Act and the Regulations relating to Banks will be an added advantage;
• Financial Risk Manager (FRM) or a Professional Risk Manager (PRMIA) qualification; and 
• excellent risk and control knowledge.