Assistant Director: Market Risk at National Treasury

Qualification/s Requirements

• A minimum National Diploma (equivalent to NQF level 6) in Mathematics or Statistics or Finance or Economics;
•  A Bachelor’s degree (equivalent to NQF level 7) in any of the above disciplines is added advantage;
• A minimum of 3 years’ experience obtained in a Financial Markets’ environment; 
• Knowledge of Financial Markets and asset or liability portfolio management techniques; 
• Knowledge of Financial Risk Modelling techniques and fixed income valuation techniques; and Sensitivity measures applicable to fixed income products; Modified Duration, DV01 and Convexity.

Key Performance Areas

Market Risk Components:

• Undertake financial market risk factor research, stochastic processes applicable to financial market risk modelling;
•  Applicable time series models and probability distributions and non -parametric methods; and
• Funding and market liquidity risk analysis.

 Fixed Income Valuation and Product Structuring:

• Analysis of fixed income products, valuation techniques;
•  Assist with Fixed Income product structuring including derivatives;
• Assist with the construction and continuous improvement of credit, nominal and real curves; and 
•  Assist with producing research related to spot, forward, yield to maturity curves.

Application of Statistical Process Controls and Decision Analysis: 

• Asset / Liability Portfolio Performance and Attribution techniques; 
• Probabilistic Scenario analysis; and 
•  Application of control charts for process variations and attributes. 

Data Quality Management and Programming Skills: 

• Assist with the Data Quality Management Process; and 
• Proficiency in at least one Programming language; R, Python, etc.