Head: Credit in Markets at Absa Group Limited (Absa)

Job Summary

• Responsible for the overall management of Credit Risk within Global Markets, covering Structured Trading, Counterparty Risk Trading, Derivative Counterparty Exposure Management and Single Name issuer risk for South Africa and Africa.  
• The role spans both Market Risk and Credit Risk within Global markets, covering both the trading and banking books.  Specifically responsible for designing and operating within established frameworks, appetite, and limits by ensuring that market and credit risks are identified, measured, managed, reported and challenged. The individual will be the central point of contact for the business regarding the measurement, limit setting and monitoring of market and credit risk arising from the credit trading and derivative portfolios.

Job Description

• Responsible for the overall management of Credit Risk within Global Markets, covering Structured Trading, Counterparty Risk Trading, Derivative Counterparty Exposure Management and Single Name issuer risk for South Africa and Africa.  
• The role spans both Market Risk and Credit Risk within Global markets, covering both the trading and banking books.  Specifically responsible for designing and operating within established frameworks, appetite, and limits by ensuring that market and credit risks are identified, measured, managed, reported and challenged. The individual will be the central point of contact for the business regarding the measurement, limit setting and monitoring of market and credit risk arising from the credit trading and derivative portfolios. 
• The top priority for this position is providing a robust challenge to the business. The position will require an ability to directly challenge desk heads on their risk taking, trading/hedging strategies, PnL and portfolio mix. In addition, this position will need to assess the counterparty risk arising from the derivative portfolio, including advising business on credit risk mitigation strategies. 
• As a result, the incumbent will need clear and independent views with an excellent understanding of risk, PnL performance and stressed market conditions.  

Specifically the role will be accountable for:

• Senior risk officer with delegated mandate from credit to make risk decisions on CCR e.g. approvals and allocations of lines and management/responding to excesses working directly with frontline
• Ownership for all credit risk in markets (single name issuer risk (SNI), xVA, Potential future exposure, collateral and counterparty MTM reporting)
• Central team to provide complete view of credit risk exposure to a counterparty under crisis reporting
• Chair of SNI and CCR management forums
• Risk Metrics to incorporate – RDARR metrics on CCR exposure at default, RWAs, EC, EaR, etc
• Point person for SA-CVA, SA-CCR and non-cleared derivative regulations (regulatory engagement and responses)
• Strong ability to collaborate with cross function e.g. closely working with large derivatives user segments Financial Institutions Credit and Coverage Teams
• The individual will be a credit voter or sponsor for structured derivatives products in credit channels e.g.CIB, Group and Board Credit Committees.  
• Derive functional mandate from CIB CCO and maintain strong relationship with CIB CCO and Group CCO in a matrix environment
• Build and maintain CCR concentration risk management framew
• Build, maintain and co-ordinate CCR crisis reporting framework in compliance with RDARR principles  
• Will be required to provide oversight and development of prime brokerage risk framework/function
• Custody/Owner of CCR related policy and standards 
• Responsible for building a PAN Africa CCR monitoring framework using tools and systems available within CIB Risk/Global Markets
• Provide training and mentoring of risk, finance, and front office staff.

Requirements

• The position requires a thorough understanding of global markets, cross asset class products traded by an Investment Bank and their associated risk measurement methodologies (value at risk (VaR), stress testing, XVAs, risk mitigation and valuation).
• The job holder needs to have expert knowledge of risk management, credit products and second/third order sensitivities, including how these are hedged across all asset classes. 
• The role requires someone with big picture insight with an acute sense and appreciation for risk to ensure that the right balance between commercial interest and sound risk taking is achieved in support of both business growth and protection of the franchise from unexpected loss.
• The job holder should understand the CIB strategy and objectives of the wider group and continuously seek ways to contribute to these.
• The position is also responsible for the monitoring and reporting of counterparty credit risk arising from OTC and secured financing transactions.  A thorough understanding of credit mitigation strategies, ISDA, CSA, GMRA and GMSLA agreements is also required.  

Education

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