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ALM Risk ManagerRand Merchant Bank (RMB)

6 days0 Applicants
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job description - ALM Risk Manager

  • 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 optimization 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
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