Associate ALM Risk Analyst at South African Reserve Bank

Brief Description        

• The main purpose of this position is to ensure that the Risk Support Department (RSD) discharges its responsibilities arising from its mission insofar as asset and liability management (ALM) related risk management is concerned. This includes being part of a team of risk specialists in the RSD responsible for providing specialist knowledge, skills, and experience in ALM-related risk supervision and regulation, specifically relating to liquidity risk and interest-rate risk in banking and insurance companies.

Detailed Description        
The successful candidates will be responsible for, among other tasks, the following:

Supervision

• Review and evaluate banks’ ALM frameworks and reports (including assessing their capital requirements for regulatory and economic capital, where applicable) and their ability to manage ALM-related risks, specifically interest-rate risk in the banking book.
• Review and evaluate insurance firms’ ALM frameworks and reports and their ability to manage ALM-related risks.
• Assist in providing expert guidance on matters relating to compliance with minimum regulatory requirements relating to ALM for supervised institutions.
• Assist in developing analytical methods to analyse and interpret risk-based regulatory data submissions.
• Conduct on- and off-site reviews of ALM-related risks for the banking and insurance sector.
• Identify ALM-related risks by processing, reviewing and evaluating relevant applications from supervised institutions.
• Provide specialist support with respect to ALM-related risks within the Prudential Authority (PA).
• Stay abreast of international best practices and developments surrounding ALM-related risks.
• Inform the PA regarding the aggregate behaviour of banks and insurers regarding ALM-related risks.
• Ensure that the own risk and solvency assessment (ORSA) process adequately captures ALM-related risks. 

Regulation

• Assist in terms of research and input into the regulatory framework (e.g., the Banks Act 94 of 1990 (Banks Act), the Regulations relating to Banks, circulars, directives and guidance notes) in line with international best practice.
• Assist with the development of internal policies and processes for supervising ALM-related risks.

Job Requirements        
To be considered for this position, candidates should have:

• a Bachelor’s degree in Banking, Risk Management, Finance, Accounting or Auditing; and
• two to five years’ applicable experience in the financial sector or within risk management.

The following would be an added advantage.

• applicable ALM-risk management experience;
• conversant in the Basel frameworks – related to liquidity risk and interest-rate risk in the banking book – at both a theoretical and practical level; and be abreast of best practices in ALM risk management;
• familiar with the interest-rate risk in the banking book papers published by the Basel Committee on Banking Supervision;
• familiar with the liquidity risk papers published by the International Association of Insurance Supervisors;
• knowledge of the Banks Act, the Insurance Act and the Regulations relating to Banks will be an added advantage;
• Financial Risk Manager (FRM) or a Professional Risk Manager (PRMIA) qualification; and
• excellent risk and control knowledge.

Additional requirements include 

• knowledge of the risks that banks are faced with;
• knowledge of the risks insurance companies face;
• ability to travel: some on-site reviews and assessments will require the candidate to travel locally;
• effective time management skills;
• innovative analytical/problem-solving skills;
• good verbal and written communication skills;
• good interpersonal skills;
• ability to work in a team and contribute to team success (hybrid and face-to-face); and
• good working knowledge of Microsoft Office 365 software packages (e.g. Word, Excel and Teams) and other related software packages.