Standard Bank Group Manager, Market Risk - Interest Rate Trading Desk Jobs in South Africa
Standard Bank Group Manager, Market Risk - Interest Rate Trading Desk Jobs in South Africa
Job DescriptionThe role requires the incumbent to take responsibility for identifying, measuring, managing and reporting market risk exposures, relative to a predetermined risk appetite, on the Interest Rate Trading desk. In order to do so, optimum use is required to be made of risk, front office and reporting technology, in addition to which daily interaction with the trading team and other related business support functions will be necessary.
The role also requires periodic rotation into other desks.
Key Responsibilities:
Responsibility for the Interest Rate Trading desk in terms of Market risk
Display an effective understanding of the markets in which Global Markets trades for that specific desk
Understanding of the derivative products and their associated risk metrics for that specific desk
Critically analyse output produced in relation to the above understanding
Identify areas of improvement that will aid in more efficient consolidated reporting
Ability to automate manual processes in line with the digitisation strategy
Assist in conducting MPC scenario testing or any other ad-hoc stress testing to highlight key exposures related to the desk
Act as a Market Risk business lead in Global Markets systems changes that impact the desk. This will include defining the testing requirements from a Market Risk perspective, participation in testing as well as documentation of the testing output for approval by the Market Risk Technical Committee (MRTC).
Conduct certain duties DRMs are responsible for a specific desk (or desk the DRM is backing up), these will include but not limited to the following:
Complete accurate and relevant risk reporting for the daily, monthly and periodic reports and present at committees where applicable.
Ensure matters arising from regular trader meetings are proactively included as input into regular Market Risk Committee (MRC) meetings.
Ensure relevant, meaningful and insightful commentary is included in all reports (daily, weekly, monthly etc.) relating to market risk changes and profit and loss attribution.
Ensure key risks are highlighted at weekly engagements with traders for example significant strike exposure going into options expiry.
Ensure effective and comprehensive price validation of liquid risk drivers (daily) and illiquid risk drivers (at least monthly).
Ensure that market risk consumed by the trading & banking operations is within the Alco approved appetite with limit breaches escalated to relevant audience.
Ensure that limit breaches are resolved within 24
hours of the breach occurring.
Follow-up on appropriate breaches to ensure positions are brought in line with or agreement reached where not brought in line.
Monitoring of back-testing exceptions together with action taken to resolve when exceptions move to a red grading.
Enhancement to reporting process to ensure accuracy of reported risk exposures and prioritise automation with relevant IT teams as required by BCBS239 principles.
Ability to do continuous checks on the data used in the computation of our various risk measures to ensure appropriateness and accuracy.
Participate in FRTB testing and tracking if applicable.
Participate in producing QIS output as required by Basel Committee when applicable.
Calculate or review regulatory market risk capital for the desk submissions including commentary on movements and review and understand South African Reserve Bank capital submissions.
Conduct annual and ad-hoc product and limit mandate review in consultation with the Market Risk Asset class head and Trading desk head.
Participate in the new business plan evaluation, new products implementation and structured transactions assessments in order to identify market risk for the desk. Present results to relevant forums for approval.
Ensure effective collaboration with other areas (e.g. Product Control, Credit, Global Markets, IT, etc.) in SBG.
Qualifications
Honours Degree: BSc Honours Maths of Finance; BSc/BBusci Actuarial Sciences; MCom (Risk Management); BSc/BCom Honours Mathematical Statistics, Quantitative Finance.
Experience:
Market Risk Management: 4 - 5 years experience
Good understanding of the market risk function in as far as the control component, market risk measures and product types both linear and non-linear across the Rates and FX asset classes.
Global Markets: 2 - 3 years experience
Knowledge of Global Markets Products and their valuations
Skills:
Experience in coding is preferred (SQL, Python - or similar coding languages)
How to Apply
For more information and job application details, see; Standard Bank Group Manager, Market Risk - Interest Rate Trading Desk Jobs in South Africa
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