Description

Brief description

Brief Description

The main purpose of this position is to realise the responsibilities of the Market Risk Division in the Prudential Authority (PA) at the South African Reserve Bank (SARB). The scope of this position spans market risk, counterparty credit risk, margin requirements, and other areas deemed appropriate across banks, insurers, financial market infrastructures, and other relevant financial institutions impacted by specific cross-sectoral regulations or market initiatives falling within the scope of the division.

Detailed description

The successful candidate will be responsible for the following key performance areas:

• Understand institutions' strategies and business models in the relevant environments to which the risk types mentioned above relate.
• Monitor the relevant industry's exposure to the risk types.
• Monitor industry compliance with the regulations governing these risk types.
• Benchmark institutions' risk management practices with respect to best practice.
• Provide specialist input with regards to the risk types to front-line supervision and policy development.
• Develop analytical methods to analyse and interpret risk-based regulatory data submissions.
• Participate in capital/own fund requirement adequacy assessments.
• Contribute to risk-based meetings with representatives of institutions and their auditors.
• Conduct thematic reviews pertaining to the risk types.
• Develop and maintain regulations and instructions governing the statutory requirements for the risk types.
• Develop internal policies and processes for supervising the risk types.
• Participate in international and domestic forums related to the establishment of regulations pertaining to the risk types.
• Ensure widespread cognisance and understanding throughout the PA of the concepts and developments in the field of the risk types.

Qualifications

To be considered for this position, candidates must be in possession of:

• a postgraduate degree (NQF 8) in Banking, Computer Science, Data Science, Economics, Finance, Financial Mathematics, Financial Engineering or Statistics, or another relevant quantitatively focused postgraduate degree; and
• at least 5-8 years of applicable experience in the banking, insurance, financial market infrastructures or financial regulatory sectors in positions related to the risk types.

The following would be an added advantage:

• Chartered Financial Analyst (CFA) holder.
• Financial Risk Manager (FRM) or Professional Risk Manager (PRM) holder.
• Certificate in Quantitative Finance (CQF) or another appropriate industry-recognised certification

Additional requirements include:

• a critical understanding of local and global financial markets, derivative instruments, financial risk management principles,
• understanding of investment and margin practices; sound knowledge of insurance and financial market infrastructure (particularly central counterparties) business models;
• sound knowledge of appropriate trading, investment, operations, and risk management systems used by insurance, financial market infrastructures (as appropriate), and other relevant supervised financial institutions.
• working knowledge of the Insurance Act 18 of 2017 and the Financial Markets Act 19 of 2012
• Good working knowledge of Microsoft 365 software packages (i.e. Word, Excel, and PowerPoint) and other related software packages;
• knowledge of reporting software packages such as PowerBI and Tableu;
• proficiency in programming, particularly in languages such as Python or R;
• effective time management skills;

The SARB offers remuneration and benefits commensurate with the level of the position and in line with the market. The level at which the successful applicant will be appointed will depend on his/her competence and experience.