ALM Model Development Lead at FirstRand Corporate Centre

Job Description

• To plan, build, optimise and implement innovative quantitative analytical methodologies, procedures, products and advanced
• mathematical models that provide analytical support and interpret insights, using advanced analytics technologies, to address business opportunities and problems and implement business strategy.

Hello future ALM Model Development Lead!

• FirstRand believes that its people are its single most important resource and will not operate in a sector unless it has people who are right for that market and who share FirstRand’s business values. We recruit self-starters who have a passion for what they do. We empower them, hold them accountable and reward them appropriately. We value diversity in our people, particularly for the way that this contributes to innovative thinking. If you think you will flourish in our environment, and you believe you have the necessary skills and competencies for the position advertised, then we are looking for you!

Role Purpose

• The ALM Model Development Lead role, is a senior position within the ALM risk team, in Group
• Treasury (GTSY). The responsibilities incorporate both model development and model risk management

For model development, the candidate would be responsible for planning, building, optimising and implementing innovative statistical and mathematical models to address ALM risk management needs, as well as business opportunities and problems. This may include:

• Specification of parameters and testing of outputs for ALM foundational and core models, such as cash flow generation models, and cash flows discounting models for instruments in the FirstRand balance sheet for banking and non-banking entities.
• Development, implementation, maintenance, and recalibration of Non-Maturity Deposit (NMD) models. Including models to assess, the extent of interest rate passthrough, and the stability over time of transactional accounts, savings deposits, and call accounts.
• Development, implementation, maintenance, and recalibration of behavioural models to assess the liquidity and interest rate characteristics of on- and off-balance sheet items and flows for FirstRand banking and non-banking entities.
• Ensuring that models are accepted by business owners and approved by appropriate technical committees.
• Maintaining models, and planning and performing regular model updates that capture evolving business complexity.
• Challenging current models to ensure relevance and accuracy.
• Explaining model dynamics and outputs at senior risk and business committees such as ALCCO and FRM.
• Providing technical specification, guidance, or recommendations for ALM risk related models/processes/platforms.
• Assessment of emerging ALM risks that require modelling.
• Sourcing and preparing relevant data sources for analysis.

In fulfilling these responsibilities, the candidate will need to:

• Adhere to model building policies, standards, frameworks, and governance process.
• Ensure ethical usage of information that complies to restrictions applied for privacy and sensitivity classification.
• Maintain expert knowledge on relevant regulations, industry best practices and internal procedures and requirements.
• Review and assist more junior quantitative analysts with processes and models.
• Participate and contribute to a model development culture where information regarding successes, issues, trends and ideas are actively shared.
• Build and sustain collaborative working relationships with relevant peers and stakeholders.

For model risk management the candidate will serve as the model risk lead for Group Treasury. This is will, inter alia, include:

• Acting as the custodian and key point of contact for the GTSY Technical Committee.
• Coordination of model risk management across GTSY, including fostering the culture of model governance in GTSY, and ensuring that relevant model owners appropriately maintain models, through the model lifecycle, and according to the assessed model risk requirements.
• Providing advice on the GTSY SAS MRM platform.