Asset Liability Management & Market Risk Officer at Shelter Afrique

Overall purpose

The purpose of the role is to support the Enterprise Risk Management Function in safeguarding and improving the company risk bearing capacity and the efficient use of this capacity through identifying and formulating risk mitigating measures related to the Company’s Asset and Liability Management (ALM) challenges and opportunities. The person appointed will directly be reporting to the Head of Enterprise Risk Management.

Duties and Responsibilities

Key responsibilities will include:

• Monitor adherence to the company’s policies and procedures on treasury operations and asset & liability management.
• Develop and/ or maintain appropriate benchmarks for all financial risks arising in Treasury operations, through implementation of established stop loss, hedging, and mark to market disciplines.
• Analyze currency mismatch positions, and duration mismatch between Assets and Liabilities, and estimate impact of currency and interest rate movement on the company balance sheet.
• Analyze maturity structure of the Company’s existing Assets and Liabilities in order to evaluate and manage the risk exposures.
• Prepare the monthly liquidity and market risk reports to ALCO.
• Ensure appropriate identification, measurement, monitoring and reporting of liquidity, market, and credit counterparty credit risks.
• Assist with the development of the company’s funding plan, including modelling alternative funding strategies.
• Review and re-calibrate, on a monthly basis, all behavioral liquidity assumptions and submit updated assumptions to ALCO for review and approval.
• Review and update all assumptions pertaining to liquidity stress testing and associated contingency plans on at least a quarterly basis.
• Develop and maintain ALM and risk analytical models in Excel and provide thorough documentations on models and the related processes.
• Leverage financial engineering, capital markets, and product knowledge to assist in the development of innovative ALM strategies.
• Assist in the development of risk limits, liquidity tolerance, and the relevant monitoring and reporting processes.
• Develop and/or use mathematical models to aid in the analysis of interest rate risk and funds transfer methodologies.
• Prepare and analyse forecasts and calculations used to set strategic direction in the areas of earnings, liquidity, and capital. Reconcile actual and forecast results.
• You will be a member of the ALCO, where you will be expected to provide high quality ALM management information.
• Monitor and report on the transaction compliance, market and counterparty credit risk exposures related to the Company’s Treasury activities and review the quality and accuracy of monthly reports produced by Treasury team.
• Analyse complex or recurrent issues on fair valuations and Profits and Losses (P&L) calculations on Treasury Portfolios, including Investment, Borrowing and Derivatives transactions of the Company.
• Participate in the review of ISDA/CSA agreements to ensure an adequate legal framework for treasury operations.
• Contribute to the confirmation of offering memorandums, pricing supplements and swap agreements for Treasury activities.
• Immerse in global capital markets to forecast emerging risks, analyze financial statistical data quantitatively and qualitatively, conduct statistical analysis with data and present findings.
• Lead and manage projects related with the Company’s VaR engine and assist in the market risk quantification under the ICAAP process.
• Participate in the market risk capital requirements calculation process under current regulatory frameworks; and Comply with SLA for delivery of risk reports

MINIMUM QUALIFICATIONS & EXPERIENCE

• Undergraduate degree or its equivalent in Mathematics, Finance, Companying, Economics, Business Administration (with a major in Finance) or similar quantitative disciplines.
• Have a minimum of five (5) years of relevant professional experience in International Financial Institutions or Investment Company’s, with a large scope of treasury or fixed income activities. Working experience in Fixed Income and Derivatives front-office, middle-office or risk management departments will be an advantage.
• Professional certification in Risk and/or Finance such as Financial Risk Manager (FRM), Professional Risk Manager (PRM), Chartered Financial Analyst (CFA) or Certificate in Quantitative Finance (CQF) will be an advantage.
• Knowledge and experience on ALM and/or Capital/ Risk Management preferred.
• Ability to develop quantitative measurement tools and analyze large amount of data.
• Demonstrated knowledge and experience of financial and/or risk reporting.
• Ability to work autonomously as well as part of a multicultural team.
• ProficientinuseofstandardMSOfficesoftware,especiallyExcel.
• Knowledge and experience in regulatory companying risk management guidelines and modern financial risk management practices and ability to initiate and implement tactical changes to support business performance. 
• Fluency in oral and written of either of English and French languages and working
• knowledge of the other will suffice.