ALM Strategy and Analytics Manager

Overview

This role will be responsible for developing a best-in-class Asset / Liability (ALM) strategy and quantitative analytics to support the management of the bank’s asset and liability profile. Additionally, the role will be responsible for managing the Treasury’s various investment portfolios, including the capital portfolio.

Responsibilities

• Delivery and ownership of best-in-class analytics frameworks and capability to support the management of the bank’s ALM profile across all ALM mismatches
• Identification, aggregation, and measurement of the bank’s on-going ALM mismatches including
• interest rate mismatches (in all its guises, including fixed-v-floating, basis, etc) in the banking book
• liquidity mismatches
• structural foreign currency mismatch
• Delivery of proposed strategies and recommendations, including investment strategies, to manage all the identified ALM mismatches
• Delivery of ALM modelling, research and insights for bank-wide use including Treasury, governance via ALCCO and business. (This will include liability behaviour, pre-payment analytics, etc.)
• Delivery and ownership of the annual Internal Capital Adequacy Assessment Process ‘ICAAP’ (including the completions of all applicable reference documents) and Recovery Planning Process (RRP).
• Guide and implement a repeatable, dynamic stress and forecasting process in line with Group’s guidelines, regulatory requirements and best practice.
• On-going involvement in regulatory implementation projects (e.g. Basel reporting standards) and performance of impact assessments on proposed changes to regulations.
• Drive engagement with the wider bank to ensure that there is rigour around actions that have ALM impacts
• Collaborate with business on possible product development that optimize the bank’s ALM profile.
• Delivery of risk-clearing discipline between Treasury portfolios and at handover points outside Treasury
• Drive engagements with ALM Risk Management and accounting on all the above. This will include ensuring hedge effectiveness is optimised in accordance with accounting standards
• Provide business ownership over ALM systems and architecture
• Report on all the above to governance forums including ALCCO, Exco and Board
• Relationships
• Develop and maintain relationships the following key relationships :
• Within the bank : Finance, business lines, risk management, governance bodies (including ALCCO, Exco and Board);
• With the regulator;
• Within the Group : FirstRand Group Treasury, Group finance and Segments

Qualifications & Experience

Skills & Attributes

Job Details

Take note that applications will not be accepted on the below date and onwards, kindly submit applications ahead of the closing date indicated below.

27 / 10 / 25

All appointments will be made in line with FirstRand Group’s Employment Equity plan. The Bank supports the recruitment and advancement of individuals with disabilities. In order for us to fulfill this purpose, candidates can disclose their disability information on a voluntary basis. The Bank will keep this information confidential unless we are required by law to disclose this information to other parties.

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