SOUTH AFRICAN POST OFFICE (SAPO) - QUANTITATIVE ANALYST (HEAD OFFICE: PRETORIA)

KEY RESPONSIBILITIES
 
Strategic alignment
• Responsible for the development and implementation of the Treasury policy and monitoring the compliance thereof
• Participate in preparation of feedback reports for ALCO
• Performing hedge effectiveness tests and valuations on relevant derivative instruments on an ongoing basis as well as IFRS 7 and IFRS 9 reporting
• Provide input into the development of the investments and liquidity management strategies for Asset and Liability Management purposes
 
Valuation of Financial Instruments
• Responsible for the valuation of financial instruments.
• Responsible for the development of appropriate hedge effectiveness models and monitoring of hedge effectiveness.
• Responsible for Treasury related aspects of IFRS 7 and IFRS 9
• Manage and monitor the impact of changes in the general economy including inflation, GDP growth, interest rates, and foreign exchange rates
• Provide input into the determination of of the profit and loss of Postbank’s Treasury department.
 
Modelling, Forecasting and stress Testing
• Responsible for the long term cash flow forecasting and conduct back testing and stress testing for liquidity risk
• Responsible for the forecasting of net interest income (NII)
• Develop and implement a stress testing framework models to facilitate the assessment of the impact of macroeconomic stress scenarios on the capital position (for all quantifiable risks) and P& L of the Bank
• Assist in formulation and updating of the ICAAP for the Bank
• Responsible for the development of models to support quantification of Pillar 1 & 2 risks and enhanced stress testing
• Conduct behavioural studies on the distribution of assets and liabilities for bucketing purpose for preparation of statement of structural liquidity
 
Compliance
• Responsible for monitoring the compliance to the Treasury policy.
• Provide input into regulatory reporting
• Support annual review of the counterparties
• Responsible for monitoring the compliance to the prudential requirements
 
Operations
• Responsible for maintaining the static data on the Treasury Management system and ensuring alignment with the ERM system.
• Responsible for ensuring accuracy of market data and systems parameters used for instrument valuations
• Participating and delivering multiple initiatives being business projects, systems change implementations and new products development on behalf of Treasury
 
MINIMUM REQUIREMENTS, JOB REQUIREMENTS, SKILLS & ATTRIBUTES
 
Minimum Requirements
BSc (NQF 7) or B Com (Hons) degree (NQF 8) in Mathematical Statistics, Statistic or Econometrics or similar qualification
CFA/FRM will be an added advantage
At least 5 years’ of specialized balance sheet management within a banking industry
Strong Treasury Operations background accounting
Practical knowledge & understanding of financial instruments
Experienced in numerical/statistical programming languages such as R, SAS or MatLab
 
Knowledge and understanding of:
 In depth knowledge of industry best practices
 Deep understanding of Asset / Liability Portfolio management
 Understanding of Bank Capital adequacy models
 Practical knowledge of the IFRS 9 and In-depth Hedge Accounting experience
 Good understanding of Government related acts (PMFA, Basel, King III - VI, Banks Act etc)
 Deep understanding of quantitative analysis methodology and financial modelling techniques
 Knowledge of ICAAP
 
Skills and Attributes
 Good business acumen, Strong analytical, quantitative and qualitative skills, Ability to think strategically, Ability to work under-pressure, Customer service driven, Resilient.
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CONTACTS
The South African Postbank SOC Limited is committed to the achievement and maintenance of diversity and equity in employment, especially with regard to race, gender and disability. In compliance with the banks employment equity plans, first preference will be given to candidates from designated groups. Correspondence will be limited to short listed candidates only.
 
If you wish to apply, please forward your Curriculum Vitae (CV) to recruitment@postbank.co.za.  Please indicate in the subject line the position you are applying for. To view the full position specification, log on to www.postbank.co.za  and click on Careers.
 
Closing date: 13 March 2020
 
Position number: 60063088
 
Cost Centre: 50800
 
If you do not hear from the South African Postbank SOC Limited or its Agent within 3 months of this advertisement, please accept that your application has been unsuccessful. The South African Postbank SOC Limited reserves the right not to fill the positions or to re-advertise the positions at any time.