Website South African Post Office - SAPO
Responsible for identifying, measuring, managing, monitoring and reporting all Market Risks emanating from Postbank Treasury activities as well as Model Risk governance. In addition, the manager will be responsible for Model Risk Validation of all Models developed within the bank and report the findings to ALCO, RCMC and the Board.
- Develop, implement and maintain ALM and Market Risk related performance measures and Key Risk Indicators.
- Assist head of Market Risk to maintain and annually review policies and procedures; ensure compliance to regulations and industry best practice.
- Assess the appropriateness and suitability of the risk limits and monitoring.
- Continuous research, develop and implement appropriate models to facilitate information on market risk management activities.
- Assess appropriateness of the modelling assumptions used to model market risk, Credit Risk, Operational Risk and other risks faced by Postbank.
- Potentially develop challenger models for validation of Credit Risk Models and Operational Risk Models.
- Identify, research, develop, implement and maintain appropriate reporting strategies to support Postbank’s strategic and business needs and objectives
- Assist Market Risk Head to provide the relevant market risk sections for the Bank’s regulatory reporting and the ALCO pack.
- Perform Model Validations across all Postbank models by agreed deadlines
- Perform ongoing model monitoring and review process
- Reporting on and escalating areas of model validation to ALCo, RCMC and Postbank Board
- Document findings of validations and review process
- Take ownership of the full end-to-end model validation lifecycle (development, implementation and governance) to meet relevant business as usual and project timelines
- Ensure the efficient management, control and compliance of function / resources in accordance with the stipulations of the PFMA, fraud prevention and risk management principles, corporate governance, legislation, company policies, processes, regulations, Delegation of Authority, etc.
- Bsc. (Hons) NQF 8 Degree in Mathematics, Statistics, Applied Math or Maths of Finance
- 5 or more years’ experience in Market Risk and/or model validations
- Market Risk
- Model Validation, Behavioural credit scoring, Credit impairments under IFRS 9, Regulatory capital requirements,
- Credit risk management processes across the credit life cycle, Retail banking experience, Risk and Compliance
management, Relevant statutes, rules and regulation ,Interest Rates Risk, Liquidity Risk, ICAAP, Stress Testing,
- Basel II and III, ,Banks Act, Statistical techniques and models, Financial market products, Strategy development and
- Accurate numerical computations, analytical and overall quantitative skills
- Critical Thinking
Company: South African Post Office – SAPO
Vacancy Type: Full Time
Job Location: Pretoria
Application Deadline: N/A