XVA Structurer at RMB - Rand Merchant Bank

Job Description

• To ensure that whenever a new derivative trade is added to the balance sheet, it is correctly transfer-priced and risk-managed for lifetime costs
• Hello Future XVA Structurer

Are You Someone Who Can

• Investigate the impact of any derivative-related activity on the balance sheet in terms of the costs it could generate across the lifetime of the deal and how this could influence regulatory reporting
• Transfer price those costs, based in findings, and provide recommendations on how to structure the deal better to optimise the balance sheet
• Manage the position for its residual market risks, once the deal is in place, and has been transfer priced to the BRM desk
• Display understanding of relevant legal agreements governing specific transactions in order to price them correctly
• Advise all relevant stakeholders on appropriate actions to be taken in the case of a credit event
• Apply judgement to make decisions where there may be no clear guidelines
• Engage with stakeholders to explain how BRMs objectives impact their business
• Work closely with all internal stakeholders to understand their needs, adapting communications to meet the needs of different audiences and audience levels
• Challenge current practices and use influence and change management skills to achieve buy-in to new approaches, particularly in terms of parameters, models and appropriate levels
• Incentivize appropriate stakeholder behaviour to optimise the balance sheet
• Ensure recommendations are in the Groups best interests and do not incentivize short-term or individual gains
• Develop operational and system processes to fulfill the above and identify opportunities to enhance these where appropriate
• Liaise with BT regarding system requirements e.g., what is needed, how it could work, how to get better access to data, how to clean data and make it more reliable
• Demonstrate pride in the organisations brand services and products by consistently delivering on the brands promise
• Follow through to ensure that personal quality and productivity standards are consistently and accurately maintained
• Stay relevant and up to date with legislations and new developments
• Maintain a positive attitude and respond openly to feedback
• 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 time frames and according to quality standards
• Take ownership of personal career development leveraging formal and informal opportunities
• Read situations and organisational realities
• Set aside personal agenda for the greater good
• Act in an ethical transparent and morally defensible manner including highlighting unethical practices
• Share debate and communicate learningsd
• Flag and debate issues constructively
• Promote a friendly cooperative climate

You Will Be An Ideal Candidate If You Have:

• Minimum Qualification: Relevant post-graduate qualification (e.g. post- graduate quantitative degree in mathematical / actuarial / statistics/ engineering /financial mathematics discipline)
• 5+ years’ trading and/or financial engineering experience with exposure to derivative structuring/trading, quantitative modelling, and risk management
• Any specific skillset required for the role: Financial engineering or actuarial science