Asset And Liability Manager

Qualification/s Required: A qualified actuary or CA preferable with a min. of 7 years experience in a major financial services institution, 5 years of which in a Treasury Banking/Capital Markets function.Experience Required:At least 5 years experience in a Treasury Banking/Capital markets function within a banking or investment management institution, specifically in ALM i.e., techniques and practicesExperience operating at a senior level and building relationships with ALCO and Executive level stakeholders, internally and externallyExperience leading a major change management initiative within an organizationExperience in the preparation and reporting and presentation of risk metrics to the ALCBanking BookDeep understanding of NII, EVE, market value, EaR and VaRGood knowledge of market risk and hedging instruments, including IRS and FECs.Good knowledge of ROE best practice i.e. Capital allocation, Credit, Reserving (Cash and Prudential cost recovery) and FTP (cost of funding, NSFR and LCR)Formulation and maintenance of key framework policies pertinent to the ALM functionProactive management and hedging of the bank's entire interest rate risk exposures in line with policy and risk appetite.Trading BookFormulation and maintenance of the Trading Book policyMtM accountedALM systemAdvanced proficiency in excel, program languages and implementation of an ALM systemStrong quantitative skills, comfortable building models, managing large amounts of data, and analyzing the output to identify trends or present solution
Johannesburg, GT, ZA