Risk Analyst – Non-Traded Market Risk at Absa Group Limited (Absa)

Job Description

Accountability: Risk Oversight

• Ownership and support of monthly product area market risk forums for Group Treasury, developing key relationships with stakeholders to improve management of market risk. 
• Assessment and monitoring of other related market risks impacting fair value volatility, AFS and FX market risk.
• Work with and influence Product teams to structure products and identify effective hedging solutions to new products, within agreed risk appetite including structural hedging strategy review.
• Perform daily, monthly, quarterly, and ad hoc risk and control assessments front to back for allocated businesses.
• Facilitating and/or providing input to Business related committees and forums as well as any other Absa Capital and/or Group committee to run and support regular internal meetings and producing MI. 
• Develop supplementary risk models to ensure a comprehensive assessment of all market risks, and continued improvement to modeling methodologies and measure quantification.
• Support the NPA and STR process within the requirements of the NTMR policy and risk appetite framework.

Accountability: Risk Appetite and Infrastructure

• Support NTMR and ALM requirements within in the Group QRM rollout project.
• Ensure businesses are aligned to governance framework and define risk appetite. 
• Ad hoc projects e.g. Review of Absa Group-wide MRMF and NTMR policy documents.
• Be a part of the benchmarking process and cutting-edge implementation of worldwide regulatory change as required for the risk area
• Full and detailed engagement with regards to Regulatory Change (such as The Fundamental Review of the Trading Book).

Accountability: Risk Measurement

• SME expert in understanding and application of risk measures (e.g. PV01, VaR, EVE, EaR and EC)
• Management of drivers and development of new market risk measures and controls where appropriate.
• Measurement of market risk within the NTMR risk appetite framework
• Embedding and maintaining a monitoring and risk management framework and controls team wide. 
• Develop supplementary risk models to ensure a comprehensive assessment of all market risks, and to ensure continuous enhancement on models and measures.
• Governance - understand the policies and frameworks impacting NTMR; challenge and enhance the existing framework, customize for Absa Group, and obtain approvals where necessary; ensure adherence to Group Policies
• Deliverables (co-ordination, timing, quality assurance, submission within deadlines etc.).
• Reporting on framework elements
• Ensure training and awareness across the area of influence escalating concerns supplemented by a thorough front-to-back investigation with an impact analysis and recommendation.
• Maintain a training material, policies, and process documents library up to date and readily accessible for team continuity.   

Accountability: Communication

• Add value through market risk management throughout the business through pro-active stakeholder management and credible representation at regular senior level committee/meetings. 
• Maintain a professional relationship with all stakeholders, inter alia, Absa Group Risk, Absa Group Regulatory Reporting, Finance, PCG and other Absa stakeholders. 
• Engagement with Group Technology.
• Proactively find and exploit value-adds to the market risk team and business. 
• Timely escalation of potential issues to relevant stakeholders

Accountability:  Stakeholder Management

•  Lead by example in building strong internal and external relationships, displaying excellent abilities to initiate strategic dialogue and listen, advise, influence, negotiate and make presentations at all levels.
• Manage business needs and expectations by managing satisfaction levels and being available, affable, and able to honor commitments without over-promising (ensure optimal balance between response time and quality of work in circumstances where this is agreed with the business) 
• Work in a department with a focus on proactive approaches to add value to Treasury.
• Timely escalation of potential issues to relevant stakeholders with follow-ups until resolution.
• Design, maintain and enhance a Risk Framework that complies with the requirements of the various internal (e.g. senior management) and external stakeholders to ensure continued compliance and relevance. The framework should contain all the components that are required by the various regulatory requirements.
• Develop, maintain and enhance methodologies, tools, systems, procedures, processes, standards and guidelines in line with the above requirements. 
• Review all documentation on an annual basis to maintain the changing stakeholder requirements. 
• Continuously conduct research and review the framework, including all its components, to ensure that best practices are built into the framework and that the framework always remains relevant. 
• Socialize, review and/or validate the framework and changes to the framework, including all components thereof with the relevant stakeholders whenever changes occur. 
• Where changes to the framework are of such a nature that they materially impact the framework, inform the relevant regulator and where relevant, seek approval from the relevant stakeholders, prior to implementation.

Education & Experience

• Bachelor’s degree is Commerce: Finance, Risk Management, mathematical statistics and/or financial mathematics. Post graduate degree and computer science preferential. 
• FRM/PRM/CFA designation would be advantages.
• 2-3 yrs experience in Market Risk modelling, quantitative/financial engineering, Middle Office or CIB Finance/Product in an Investment Bank (preferential) 
• High level of numeracy and lateral innovative thinker able to apply, substantiate and extract value from quantitative theories to real world problems and solution for these ad hoc/on the fly.
• The ability to review and assess market risks and recommend appropriate risk management techniques.
• Pricing and testing of (linear and non) derivatives products across different asset classes with a strong focus on Fixed Income, Treasury, Credit and FOREX.
• Programming in VBA (required), R, Python (preferential