XVA Specialist - Sandton, Johannesburg at RMB - Rand Merchant Bank

Purpose

• To transfer price and assist in managing all XVA risk and pnl exposures on the BRM desk.

Experience and Qualifications

• Judgement and Decision making
• Analysis and Attention to Detail
• Strategic Thinking
• Problem Solving
• Decisiveness and Action Orientation
• Building Relationships / Partnering
• Influence and Impact
• Business Insight and Risk Awareness
• Anticipating and Managing Change
• Mathematical Acumen

Responsibilities

• Develop pricing templates and models in order to make prices to internal clients.
• Use pricing models to determine risk and execute hedges.
• Interrogate risk from new models.
• Understand the impact of any derivative-related activity on the balance sheet.
• Once a deal is in place and has been transfer priced, assist in managing the residual market risks.
• Analyse all risk reports daily.
• Flag any problems and follow-through to ensure resolution.
• Remain abreast of changes in regulation impacting the desk or changes in market conditions impacting on the desk.
• Source hedges from other Global Markets trading desks.
• From time to time engage other stakeholders in order to challenge and improve current processes.
• Make recommendations and contribute to the development of processes and systems.
• Act in ways consistent with RMB’s brand and values.
• Handle stress in ways that do not negatively impact others.
• Plan and manage own workflow, anticipating obstacles, juggling priorities and following through on objectives within agreed timeframes and according to quality standards.
• Act in an ethical, transparent and morally defensible manner, including highlighting unethical practices.
• Continually share, debate and communicate learnings.
• Flag and debate issues constructively.
• Promote co-operation in working with others to achieve shared goals.