Head of Markets and Treasury Risk at Absa Bank Limited

Overall Job Purpose.

The job holder will head a team that ensures that Market and Treasury Risks (Capital and Liquidity risks) are identified, measured, reported, and challenged to agreed standards across Absa Bank Kenya Plc. The Jobholder will also be responsible for implementing the Market, Liquidity, Capital and Interest Rate Risk control environment around Markets and Treasury businesses in ABK based legal entities and branches, monitoring, supporting, and challenging the direction of the firm’s own investment portfolios in a manner consistent with the strategy of the organization.

Key Accountabilities:

Market and Treasury Risk Oversight and Reporting – 60%

Risk identification

• Ensure that all exposures to relevant risks are identified, captured, and communicated in daily, monthly, and periodic risk reports.
• Collaborating on new product approvals, update of economic and regulatory capital models with new product specifications or regulations among other changes, model validations and regulatory relations for market and Treasury risk management
• Ensure that all risks are identified when conducting risk assessments for new product approvals and complex trades.
• Continuously improve and update a suite of comprehensive stress tests that highlight all key risks in Absa Bank of Kenya’s portfolios.

Risk measurement

• Oversight over running and timely submission of daily exposure reports, ensuring that reports are robust and efficient, and numbers are correct and complete and that risks are measured in accordance with agreed standards.
• Participate in review of Market risk metrics as and when required.
• Ensure risk reporting is fit for purpose and develop any new reporting required.
• Implement improvements to existing processes as may be required.
• Providing oversight in the management of all local market and Treasury risk management systems.
• Responsible for review and documentation of country specific liquidity stress testing assumptions and methodologies. 

Risk control

• Adhere to policies and standards, as per the Market Risk and Treasury risk frameworks
• Participate in market risk and Treasury risk limits review at least once a year, but as often as required and ensuring proper governance on the limits including presentation to various forums such as Trading Risk Committee, Market risk committees, ALCO committees and Board Risk Committee.
• Ensure compliance with Data accuracy regulations including oversight over Valuations and completeness reconciliations and resolve exceptions daily, back-testing exceptions and sign off on VaR, capital and other risk metrics as per required frequency.
• Implement new controls as may be required by regulations, the Group, relevant projects, or other stakeholders.
• Contribution in the development of risk management and front-office systems.
• Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise-Wide Risk Management Framework and internal Barclays Policies and Policy Standards. Understand and manage risks and risk events (incidents) relevant to the role.”
• Responsible for development of ABK’s Risk appetite statement and approval of the same by relevant Governance forums including the board while adhering to set standards and Risk Appetite Framework.

 Risk reporting/ monitoring

 Oversight over reporting on and monitoring exposures against predefined limits daily.

• Ensure that limit breaches are escalated according to policy and that management is provided with all information that is needed to make decisions.
• Ensuring reports must be accompanied by commentary that is relevant to the business and highlights key risks and changes in risk
• Oversight over daily, weekly, monthly, and other / ad hoc reports; this includes both quantitative and qualitative input.
• Ensure that the liquidity risk appetite is takes into consideration the stressed outflow assumptions of Absa Group and the country specific liquidity stress tests and should be clearly articulated as either duration of the liquidity buffer, and/or as a surplus to minimum regulatory liquidity requirements.
• Ensure the business plans consider the LRA and the applicable local regulatory liquidity stress test in the MTP process.
• Responsible for Conducting and reporting the country stress testing on a quarterly Basis as per Regulatory Guidelines.
• Responsible for the bank’s annual Stress Testing as well as setting the Bank’s Capital Buffer above regulatory requirements. 

Risk management

• Provide advice and expertise to assist business in optimizing risk profiles.
• Helping ABK maintain credibility with its principal national and supra-national regulators, by engendering confidence in the firms’ risk practices, processes and procedures as well as implementing new regulatory guidance.
• Establishing, communicating, and reinforcing policies related to the above risks, and setting market limits and allocations for business units consistent with the Company’s risk appetite.
•  Develop reports for new businesses.
• Understand P&L drivers and construct any necessary tools to facilitate risk and P&L analysis.
• Review and challenge Funding Plans and the liquidity metrics in the funding plans.
• Review and challenge/agree the Contingency Funding Plan, recovery options and EWIs.
• Monitor and review for compliance with local regulatory capital and reserve requirements and management action effectiveness, internal capital and leverage ratio targets deviations and management actions.
• Review and challenge capital plan, capital adequacy forecasts, underlying assumptions and changes to assumptions and forecasts.
• Review and agree stressed capital plan including assumptions and basis of preparation.
• Review and challenge/agree internal capital limits and EWIs, including re-allocation, reductions, increases and breaches.
• Review and challenge/agree capital actions to the ATC and Board for approval.
• Review and challenge/agree the recovery plan and recommend plan to ExCO.
• Assess the suitability and performance of pricing, risk and capital models working together with Risk policy & Strategy Head. Work with relevant groups to address material deficiencies.
• Adapt and expand the role as the business evolves.
• Responsible for the development of country stress scenarios, assumptions and methodology and ensuring country stress scenarios are reviewed and agreed by the Group Treasury Risk.
• Create and maintain the in-country specific Capital & Liquidity Risks Framework and Policies and recommend to ALCO and Board for approval.
• Review, challenge and recommend Capital & Liquidity Risk Appetite to the ALCO and Board Approved Committee.

Risk Analysis – 20%

Market and Treasury Risk Analysis

• Develop and maintain familiarity with key positions held and market risk issues faced by the relevant trading desk(s)
• Provide meaningful and value-add analysis. This will be used to inform management actions and/or discussions.
• Build an understanding of capital requirements and the drivers thereof to provide business with insight to make trading / hedging decisions. 
• Perform any ad hoc analysis requested by management or business
• Communicate key risks to senior management on a regular basis, including creation of presentations articulating key risks and portfolio changes. Escalate emerging or developing risks as necessary.
• Providing regular updates on market conditions and trends, and their implications to the organization, to the Executive Committee and the Board of Directors.

Stakeholder Management – 10%

• Continually interact with Front Office staff to discuss risk profile and key risks
• Build strong internal (Market Risk) and external (Front Office and other Infrastructure areas) relationships, to build synergies and efficiencies
• Manage business needs and expectations
• Providing actionable advice on current and emerging issues for all business lines
• Build skills base and competencies through facilitation of appropriate skills training and education to raise proficiency of Market risk analyst. 
• Work directly with and develop effective and constructive working relationships with a diverse set of stakeholders including, Head of Markets, Head of Sales and Trading, Head of RBB, Treasurer, Head of Credit, Head of CIB, Chief operations officer, Head of Compliance, Chief finance officer and Chief risk officer.

Control Environment – 10%

• Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise-Wide Risk Management Framework and internal Absa Policies and Standards.
• Understand and manage risks and risk events (incidents) relevant to the role.
• Review RCSA, attestations, audit findings etc. and management actions.

Technical Skills:

Essential: 

• Bachelor’s degree in Statistics, Mathematics, Risk Management, Finance, Business Management or Accounting
• Proficient in MS Office (Word, Excel, PowerPoint).

Preferred:

• ACI-Financial Markets Settlement/Dealing Certificate

Competencies:

• Deciding and initiating action
• Adapting and responding to change
• Strong communication and influencing skills
• Planning and organizing
• Coping with pressure and setbacks
• Analytical skills
• Relationship building and partnership approach
• Delivering results and exceeding expectations

Knowledge and skills:

• Working knowledge of the banking environment, local and global markets.
• Excellent interpersonal communication skills (verbal and written communication)
• Stakeholder management skills
• Analytical skills and Excellent MS Excel skills
• Good understanding of the regulatory and control environment
• Communicate well and make relationships work.

Expertise and Experience:

Essential

• More than 5 years’ experience in Market Risk, Treasury, Front Office, Middle Office, Finance or Product Control in a financial institution, financial regulatory or consulting companies.