Job Description

Empowering Africa's tomorrow, together...one story at a time.
With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.
Job Summary
The job offers an exciting opportunity to be an integral part of a top Tier Investment Bank. This is a challenging and visible role which is part of a team responsible for the overall management of traded market risk within established frameworks, appetite and limits by ensuring that traded market risks are identified, measured, managed, reported and challenged. The job focus is for a Market Risk analyst within the Structuring and xVA Trading space, with the opportunity to work across the broader Market Risk analysis areas.



Suitable candidates are expected to have 3-5yrs years industry experience having worked their way in a market risk, valuations or quantitative analyst role. Facing off with the trading desk, candidates will need to demonstrate knowledge/experience of Market Risk measurement and monitoring, Derivative Valuation, Independent Price Verification and Fair Value Adjustments, Yield Curve Analysis/Construction, Model Validation, Middle Office and the best practices surrounding these.



The role has a demanding product and technical content, and the sheer pace of activity and growth within the bank, are such that an energetic and proactive approach will be needed. Good product and quantitative knowledge is essential, along with proven IT understanding is required to succeed. These will be underpinned by intellectual capability and strong communication skills as well as the ability to work accurately and independently.

Accountability: Risk and ControlEnsure compliance with all Cluster and Group-wide requirements and policies (including changes in accounting standards) are understood and communicated. Ensure that any new developments in regulations and accounting standards impacting market and valuation risk are understood and implemented. Develop product specific risk and valuation expertise to enable pro-active risk management. Reviewing risk and valuation adjustment methodologies for their appropriateness to ensure positions are marked to fair value. Provide input into sign-off of New Products, Structured Trade Review, New and Amended Curves that are generated from responsible business lines. Have a good understanding of Market Risk regulations and provide guidance to the business on how this is impacted by risk taking.

Accountability: Risk Analysis and ReportingIdentify possible market and valuation risks by staying abreast of economic changes, market movements and position exposures. Ensure accurate and complete market and valuation risk measurement. Perform risk monitoring against limits, and ensure all controls are effective. Analyse the market risks exposures daily to ensure a complete understanding of the risk profile. Analyse the market risk exposures in relation to market movements to understand the drivers behind profit and loss data. Daily and monthly risk reports to business and management. Provide meaningful commentary to support risk analysis. Provide relevant input to all governance forums. Daily & monthly risk reports to business and management. Develop and provide management information (MI) and reports as required by stakeholders as determined and agreed from time to time. Facilitate the compilation of reports by providing data and MI in a format that allows it to be utilised effectively to assist management in understanding the risk profile and assist in the decision-making processes. Perform analysis of data to identify and report any trends that will assist in further improving the management of market and valuation risk. Understand the impact of risks and exposure on the VaR model and Market Risk capital utilisation.

Accountability: Risk Appetite, Limit and Exposure ControlReview all risks on a daily/weekly/monthly basis. Review and challenge the business on market risk exposures and positions. Investigate any risk limit excesses and follow up for resolution. Ensure all excesses are recorded and escalated to relevant management / forums.

Accountability: Projects and InnovationInvestigate efficient ways to enhance processes by measuring the effectiveness of all procedures. Continuously improve and automate reports and implement best practices as relevant. Risk assessment of new products and new business initiatives to ensure all related market and valuation risk can be identified, measured, monitored and reported on all risk platforms. Perform ad-hoc projects as requested from time to time from Risk and/or other areas in the bank.

Accountability: Relationship ManagementAct as the primary contact point for all market and valuation risk related queries for allocated desks. Provide technical market risk and valuation support to the Front Office, Product Controllers and Senior Management to ensure that all market and valuation risk control requirements are optimally met. Liaise extensively with business and across infrastructure to build relationships, gain an understanding of the risks, processes and controls (front to back). Maintain a professional relationship with all stakeholders across the business. Proactively find value adds to the business and timeously respond to business needs. Timely escalation of potential issues to relevant stakeholders.

Education
Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.Absa Bank Limited reserves the right not to make an appointment to the post as advertised