ALM Risk Manager Job at Rand Merchant Bank

Rand Merchant Bank (RMB), a division of FirstRand Bank Limited, is a leading African corporate and investment bank and part of one of the largest financial services groups in Africa. We offer our clients innovative, value-added advisory, funding, trading, corporate banking and principal investing solutions.

We are recruiting to fill the position below:

Job Position: ALM Risk Manager

Job Requisition ID: R12633
Job Location: Lagos
Job type: Full-time

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’.

Responsibilities
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. 
• 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). 
• 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). 
• 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. 
• At least 5 years of experience in asset/liability management or risk management. 
• CFA or FRM qualification would be an advantage. 
• 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.