ALM Risk Manager at Rand Merchant Bank

Job Description

• The Governance Framework for the Management of ALM Risk (i.e., Liquidity Risk, Currency Risk, and Banking Book Interest Rate Risk) provides the governance principles aimed at creating a robust process to assess, measure, monitor, and report these risks. RMB Nigeria’s (“RMBN’s”) Group Treasury is the extension of FirstRand Bank’s Group Treasury and is responsible for the implementation of the Framework in Nigeria. RMBN’s Treasury team is also responsible for the management of the bank’s capital to ensure its adequacy under business-as-usual and stress conditions, capital management risk is therefore a key component of this role. For the purpose of this document, reference to ‘risk(s)’ means, ALM and capital management risk, which are also jointly referred to as ‘Treasury Risk’.

The following responsibilities & key performance areas are required for the job:

Frameworks, Policies, and Mandates for the management of Treasury Risks

• Responsible for the establishment and maintenance of frameworks, policies and committee (i.e., ALCCO) mandates.
• Ensure full compliance with Group standards and regulatory requirements associated with funding and capital (LAR, CRR, LCR, NSFR, CAR.)
• Propose risk limits, ensuring that portfolio mandates are in place across and in line with risk appetite.
• Research best practice and make recommendations on implementation of new developments and improvements in risk management processes.

Governance & Compliance

• Monitor risks and ensure that the exposure and utilisation is in line with the risk limits.
• Ensure that mandate and limit breaches and non-compliance thereof are escalated to appropriate forums.
• Ensure implementation of Basel III requirements across all portfolios.
• Ensure adequate governance processes are in place (frameworks and regulations).
• Ensure coordination of Internal and External Audit engagement.

Risk Analytics and Measurement

• Ensure that an appropriate control framework is in place to ensure the accuracy and completeness of Treasury risk metrics.
• Develop new and optimise existing strategies for the management of risks.
• Perform an assessment and forecast the key reporting metrics and provide commentary that can be used to explain implications of the outputs and attribute movements.
• Continuously assess appropriateness of metrics and measurement methodologies.
• Drive and implement the annual Internal Capital Adequacy Assessment Process ‘ICAAP’ (including the completions of all applicable reference documents) and Recovery Planning Process (RRP).
• Guide and implement a repeatable, dynamic stress and forecasting process in line with Group’s guidelines, regulatory requirements and best practice.
• Drive and implement the quarterly Internal Liquidity Adequacy Assessment Process ‘ILAAP’ (including the completions of all applicable reference documents).
• Review the stress testing of assumptions & BAU back testing results for each Treasury Risk.
• Perform impact assessments on proposed changes to regulations impacting on stress test outcome.
• Provide recommendations to the executive management on dividend payout and optimisation of the RWAs for business units based on the ICAAP outcome.
• Analyze and monitor the currency risk on the balance sheet (banking book) to ensure the bank is immunized from adverse shocks.
• Manage and ensure compliance with the regulatory limits on Net Open Position.

Reporting & Communication

• Co-ordination and production of the ALCCO pack sections and presentations relating to Treasury risks as well as facilitating and standardising the reporting into appropriate forums and frequency for both in-country and Group
• Coordination and submission of Key Management Process reports relating to Treasury risks in the banking book to the Board’s Risk & Compliance Committee
• Action ad hoc reporting and queries relating to Treasury risks reporting
• Communicate results of risk analytics and measurement to the Treasurer
• Co-ordination and production of the periodic ICAAP and ILAAP report

Strategic Relationships

• Responsible for the development and maintenance of strategic relationships with:
• Other Risk Type Owners
• Finance, Regulatory Reporting and Compliance
• Management committees (ALCCO, FRM)
• Regulator
• Group and in-country Research teams
• Group ALM Risk Management
• Group Capital management
• Group Exchange Control
• Develop and maintain relationships with Group peers to keep up to date with latest developments across FirstRand w.r.t risk frameworks, disclosure requirements etc.
• Industry liaison

Experience and Qualifications

• A degree in accounting / finance / maths / statistics or related field with a strong quantitative bias.
• CFA or FRM qualification would be an advantage.
• At least 5 years experience in asset/liability management or risk management.
• Thorough understanding of banking products and financial instruments.
• Thorough understanding of ALM management and an understanding of ALM and Capital specific regulations (e.g. Basel reporting standards)
• Knowledge of risk measures and practices (e.g., PV01, VaR, EaR (NII sensitivity).
• Thorough understanding of governance and control frameworks .
• Capable of analysing complex concepts and translating these into simple and concise narratives for management

The following competencies are required for the job:

• Strong analytical skills
• Strategic thinking
• Excellent communication skills (verbal, presentations and written)
• Passionate / energetic
• Work well under pressure
• Self-starter / able to work independently
• Team player
• Strong interpersonal skills
• Commitment to excellence
• Time management