Asset & Liability Management Analyst

Job Description

Job PurposeThe ALM Analyst will be responsible for supporting the Head: FTP and Analytics with quantitative and qualitative projects pertaining to Funds Transfer Pricing, Interest Rate Risk, Margin and Hedge Accounting analytics and automation.The focus of this role is on data analytics, optimisation, automation and digitisation of FTP and other Asset and Liability Management related processes the FTP and IRRBB teams are responsible for.Job ResponsibilitiesThe Funds Transfer Pricing (FTP) and Interest Rate Risk in the Banking Book (IRRBB) function plays an important role in Nedbank in terms of:Transferring interest rate risk and liquidity risk to a central unit (BSM) for the strategic management thereof.Rewarding money-in business for their true liquidity generation and charge money-out business for their true funding cost consumed, whilst removing interest rate and liquidity risk.Enabling BSM to manage the structural liquidity and interest rate risk mismatch in the banking book.Allowing BSM to perform other balance sheet management activities such as enable portfolio tilt and capital allocation.Enable business to perform risk-based profitability measurement (economic profit), net interest margin management and risk-based product pricing.The Group’s margin analytics and providing relevant insights to stakeholders.Analysis and management of the Group’s interest rate risk exposures.Owernership of the Group’s Macro Hedge Accounting solution. This purpose of this role is inter alia, the maintenance of the code of the models of the Group’s Macro Hedge Accounting solution.

Responsibilities + Skills

Analysing situations or data that requires an in depth evaluation of multiple factorsDeveloping ways to minimize risksInfluencing stakeholders to obtain buy-in for concepts and ideas

Education

Advanced Diplomas/National 1st Degrees

Experience

Job Summary

  • Published on: Monday, 10th August 2020
  • Designation: Asset & Liability Management Analyst
  • industry: Finance
  • Vacancy: 1
  • Employment Status: Full-time
  • Job Location: Johannesburg
  • Salary: 0
  • Gender:
  • Application Deadline: Monday, 10th August 2020

About the Company

  • Company Name: Nedbank Recruiting.
  • Address:
  • Website: https://www.nedbank.co.za/
  • Company Profile:
  • Staying abreast of the various IFRS 9 modelling methodologies across retail and wholesale productsContributing to development aspects of the loss forecasting and stress testing framework and keeping the framework up to date as the methodology evolvesConducting ad hoc analysis on IFRS 9 PD, EAD, LGD and Survival models, as well as overall impairment calculations, for retail as well wholesale-type portfoliosConducting independent credit risk stress testing related research and using it as input into proposals and strategiesEngaging with various stakeholders across the organisation (including risk and finance) to discuss methodological aspects, business assumptions and results from the loss forecasting work stream

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