ALM Strategy and Analytics Manager at Rand Merchant Bank

Job Description

• This role will be responsible for developing a best-in-class Asset/Liability (ALM) strategy and quantitative analytics to support the management of the bank’s asset and liability profile. Additionally, the role will be responsible for managing the Treasury’s various investment portfolios, including the capital portfolio.

Responsibilities

• Delivery and ownership of best-in-class analytics frameworks and capability to support the management of the bank’s ALM profile across all ALM mismatches
• Identification, aggregation, and measurement of the bank’s on-going ALM mismatches including:
• interest rate mismatches (in all its guises, including fixed-v-floating, basis, etc) in the banking book.
• liquidity mismatches
• structural foreign currency mismatch
• Delivery of proposed strategies and recommendations, including investment strategies, to manage all the identified ALM mismatches
• Delivery of ALM modelling, research and insights for bank-wide use including Treasury, governance via ALCCO and business. (This will include liability behaviour, pre-payment analytics, etc.)
• Delivery and ownership of 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.
• On-going involvement in regulatory implementation projects (e.g. Basel reporting standards) and performance of impact assessments on proposed changes to regulations.
• Drive engagement with the wider bank to ensure that there is rigour around actions that have ALM impacts
• Collaborate with business on possible product development that optimize the bank’s ALM profile.
• Delivery of risk-clearing discipline between Treasury portfolios and at handover points outside Treasury
• Drive engagements with ALM Risk Management and accounting on all the above. This will include ensuring hedge effectiveness is optimised in accordance with accounting standards
• Provide business ownersight over ALM systems and architecture
• Report on all the above to governance forums including ALCCO, Exco and Board

Relationships

• Develop and maintain relationships the following key relationships:
• Within the bank: Finance, business lines, risk management, governance bodies (including ALCCO, Exco and Board);
• With the regulator;
• Within the Group: FirstRand Group Treasury, Group finance and Segments

Qualifications & Experience

• Relevant postgraduate quantitative/financial qualification
• Relevant experience in a treasury environment. Experience and thought leadership in cross-Treasury disciplines a distinct advantage
• Relevant experience in analytics
• Strong understanding of hedging interest rates and foreign exchange exposures.
• An understanding of financial markets, products and the pricing
• An understanding of risk, accounting, economic and balance sheet fundamentals
• Knowledge and passion to follow latest trends, news, economic environments (global and local) and ability to translate the impact of change on bank ALM profile and risk appetite, and banking operations
• High proficiency in Advanced Excel, VBA, PowerPoint and Word, and possess excellent communication skills (particularly written) and good organisational abilities.
• Basic understanding of ratings and ratings methodologies

Skills & Attributes

• Showcase good analytical and evaluative skills in tasks
• Showcase good written and oral communication skills
• Team player
• Self-starter/ able to work independently
• Have great interpersonal skills
• Computer proficiency
• Data manipulation, SQL
• Ability to multitask