Senior Manager: Interest Rate Risk Management and Hedge Accounting at Nedbank

Purpose of role

• The Nedbank Group has a robust interest rate risk in the banking book (IRRBB) management framework supported by a Macro Fair Value Hedge Accounting (MFVHA) solution. This IRRBB management framework and MFVHA solution is owned by BSM and is continuously enhanced to ensure that the source of interest rate risk is identified, measured, managed and reported and that MFVHA models are effective in reducing P&L volatility by reviewing valuation methodologies and other model parameters. Collaborating and maintaining strong working relationships with the different areas in BSM, Group Risk, Treasury and front lines businesses to facilitate and coordinate the implementation; ongoing execution and continued enhancement of effective and efficient risk management practices within Nedbank to make us world class at managing interest rate risk, and so achieve our strategic objectives.

Outputs (deliverables)

• Identification of the sources of interest rate risk and enhancement of hedging processes to ensure that material risk positions are identified and included in the hedging programme in line with ALCO hedging mandates.
• Manage the MFVHA month-end processes and associated reporting of P&L into the various executive committees and public disclosures.
• Ensure compliance to interest rate risk regulatory requirements (Regulation 30) and hedge accounting standards (IAS39).
• Manage the House View Forum (HVF) processes including budget rates, meeting packs and approvals.
• Monitoring of the effectiveness of the hedging programme within approved thresholds and optimisation of hedging processes to reduce hedging costs.
• Perform “deep dives” into specific hedging portfolios to ensure that the risk is appropriately hedged taking into account the behavioural nature of portfolios and optionality.
• Oversight and input into all IRRBB related processes (including development and enhancements pertaining to the ALM system) and internal and external reporting, and backup to key processes.
• Represent Nedbank at the applicable industry forums.

Formal Qualification

• Essential: Post graduate degree in Accounting, Economics or Financial Risk Management
• Preferred: Masters degree in Accounting, Economics or Financial Risk Management, CFA/ FRM

 
Experience

• 8 to 10 years’ experience within a Markets, Treasury, Balance Sheet Management or Asset and Liability Management function.
• 5 years in a people management position.
• Implementation of regulatory and accounting standard changes.

Personal Style and values

• Must demonstrate a willingness to enhance understanding of current methodologies and models (self-starter).
• Excellent verbal and written communication skills. Must be able to explain complex and/or technical matters clearly, accurately and simply. 
• High levels of resilience, determination and drive.

Professional/Technical Competencies

• Strong analytical and quantitative skills.
• Excellent programming skills.
• Excellent presentation skills.
• Excellent problem solving skills.
• Must be able to handle pressure and to operate with relative ease in a dynamic environment.
• Focus on detail and potential errors, must be methodical and organized.
• Detail-oriented and self-motivated. 
• Work hard, smart, productive, business driven, be able to deliver under pressure.
• Ability to work in a team and engage with senior stakeholders.

Behavioural Competencies

• Building Partnerships
• Coaching
• Continuous Learning
• Customer Focus
• Facilitating Change
• Influencing