Closing Date 2021/06/07
Reference Number DBS181127-3
Job Title Principal: Asset Liability Management (Midrand)
Job Grade 17
Job Type Classification Permanent
Location - Town / City Midrand
Location - Province Gauteng
Location - Country South Africa
JOB DESCRIPTION
This role is primarily responsible for interest rate risk, currency risk and liquidity risk management across the entire balance sheet. The duties of this role include reviewing and updating the market risk management policies and quantification methodologies and models. Working with relevant teams within the Bank the Principal will advise ALCO, EXCO and the Board on market risk management, risk limits and performance measurement.
KEY RESPONSIBILITIES
Technical outputs The Principal is responsible for monitoring and ensuring compliance with the Bank’s internal market risk limits as outlined in the Bank’s internal risk appetite statement and market risk management policies.
1) To quantify exposures and implement risk mitigation strategies for the following market risks: a) Net interest income risk - through analysing short term interest rates and the Bank’s repricing gaps and basis risk,
2) b) Economic value of equity - through analysing yield curves and the Bank’s duration gaps,
3) c) Currency risk – through analysing foreign exchange rates and the Bank’s currency net open position,
4) d) Liquidity risk – through quantifying and monitoring the LCR and NSFR.
2. To manage interest rate risk, the Principal will use FRA’s, interest rate swaps, caps / floors and swaptions.
3. To manage currency risk the Principal will use FEC’s / forwards, cross currency swaps and FX options.
4. In addition to the above ALM functions, the Principal, working with relevant teams, will contribute to the following functions:
1) Manage liquidity risk through contractual and behavioural maturity analysis, prepayment modelling and non-performing loan modelling.
2) Review and update of market risk policies and strategies for recommendation to ALCO, EXCO and the Board.
3) Draft the market risk disclosure as required in terms of IFRS and other accounting standards. d. Implement funds transfer pricing (FTP) and preparing and presenting divisional net interest margin analysis.
4) Continuous calibration of the FTP curve and maintenance of the cost of funds pricing model.
5) Assist the finance team with financial instruments valuations (derivatives and traded instruments).
6) Calculate CVA / DVA for OTC derivatives.
7) Perform hedge effectiveness testing for derivatives.
8) Perform loan prepayment pricing based on loan contract.
9) Update market risk note for annual report.
10) Impart skills and knowledge and assist with the development of junior analysts in the unit.
|
EXPERTISE & TECHNICAL COMPETENCIES
Minimum Requirements:
1. Degree in a Quantitative/Financial discipline. A relevant post graduate qualification or progress toward such will be an advantage;
2. Seven to ten years banking experience;
3. Extensive experience in asset liability management, including the use and valuation of financial derivatives instruments;
4. Advanced financial modelling and quantitative analyses experience – programming skills and experience a distinct advantage;
5. Experience with treasury trading and market risk management systems;
6. Working knowledge of Bloomberg and Reuters;
Desirable Requirements:
1. Basel II / III framework
2. SARB Bank regulations
3. Knowledge of data management (data warehouses, SQL)
Technical Competencies:
1. Written & Verbal Communication
1) Writes effective correspondence, prepares questions and reports, statements of circumstance and briefing notes.
2) Reviews others’ documents for clarity and impact.
3) Is relied on by others to help them write complex technical and non-technical documents and briefs.
4) Able to communicate complex problems or concepts, by making them simple and understandable for others.
2. Business Acumen
1) Thinks and plans in future-oriented terms.
2) Develops annual business plans that take into account longer-term activities, issues, problems or opportunities.
3) Develops and establishes broad scale, longer-term objectives, goals or projects (e.g., affecting a business, department, or organisation).
3. Problem Solving
1) While remaining guided by organisational values, identifies optimal solutions, thinking first in terms of possible approaches and flexibilities in the system vs. blind adherence to rules or procedures.
2) Implements solutions to complex problems, then evaluates the effectiveness and efficiency of solutions and identifies needed changes.
4. Stakeholder Management
1) Proactively manages partner relationships, preventing or resolving any conflict.
2) Adapts style to work effectively with partners, building consensus, trust and respect.
3) Delivers objectives by bringing together diverse stakeholders to work effectively in partnership.
5. Financial Acumen
1) Makes sound financial decisions after having analysed their impacts on the organisation, partner agencies, and community.
2) Effectively prepares budgetary submissions and forecasts for own department.
3) Knows the internal and external factors that impact on resource and asset availability.
6. Financial Analysis
1) Demonstrates a thorough knowledge or experience working with legal and regulatory issues in their subject area.
2) Develops and maintains effective working relationships with regulated industries, government officials, administrators, and civic leaders.
7. Commercial Business Acumen
1) Actively monitors the South African business environment to ensure promotion of fair competition, the protection of consumer interests, effective trade and investment, etc…
2) Understands South African business community issues/challenges and can build win-win relationships with them.
3) Envisions, creates and facilitates connections to develop and enhance partnerships, alliances and networks that advance shared interests
REQUIRED PERSONAL ATTRIBUTES
Behavioural Competencies:
1. Customer Service Orientation
1) Tries to understand the underlying needs of customers and matches these needs to available or customized products and services.
2) Adapts processes and procedures to meet on-going customer needs.
3) Utilises the feedback received by customers, in order to develop new and/or improve existing services/ products that relate to their on-going needs.
4) Thinks of new ways to align DBSA’s offerings with future customer needs.
2. Self-awareness and Self Control
1) Withholds effects of strong emotions in difficult situations.
2) Keeps functioning or responds constructively despite stress.
3) May apply special techniques or plan ahead of time to manage emotions or stress.
3. Strategic and Innovative Thinking
1) Experiments with new approaches, tests scenarios, questions assumptions and challenges conventional thinking.
2) Creates new concepts that are not obvious to others, leveraging internal and external sources of information, to build incremental revenue and growth opportunities.
4. Driving delivery of results
1) Sets challenging goals that will have a significant impact on the business or support the organisational strategy.
2) Commits significant resources and/or time to ensure that challenging goals are achieved, while also taking action to mitigate risk.
5. Teamwork & Cooperation
1) Acts to promote a friendly climate and good morale, and resolves conflicts.
2) Creates opportunities for cross-functional working.
3) Encourages others to network outside of their own team/department and learn from their experience.
|
English 
FRENCH
