Head of Liquidity Risk
Liquidity and Stress Testing
• Review ICBC Standard Bank Plc liquidity stresses ("Combined", "Idiosyncratic" and "market wide"). This will involve working with key stakeholders in treasury, business units, IT and senior management to review, propose redesign and evaluate the recalibration of the firms' own stress test on which its liquidity risk appetite is based. Parameters will need to be reviewed and justified through a mixture of statistical analysis and expert judgement. As a second line, Methodologies will need to be reviewed, evaluated and updated where necessary. Parameter and methodology changes will need to be presented to senior management and the PRA. Specifications for changes to the in-house developed ALM system will need to be written and changes tested.
• Given the Market operation nature of ICBC Standard bank's business (Emerging Markets and Commodity markets), review the "intraday" liquidity risk analysis as well as the "collateral call" analysis.
• Prepare the stress testing documentation for the ILAAP, including the challenge of the computations and the defense or challenge of the parametrization choices.
• Back testing and maintenance of the stresses: The system's parameters require regular review, challenge and validation.
• Perform "Ad-hoc" stress testing to address one-off questions and concerns relating to individual exposures and/or market conditions. This usually requires a combination of data from the ALM system and prospective calculations.
• Ensure appropriate contribution to the "Firm Wide" stress test and to the "Reverse" stress test.
Risk Monitoring and Control
• Own the EWI framework and ensure a timely recalibration, in order to fit to the market developments and the bank's situation. A deep understanding of markets conditions and idiosyncratic characteristics is required.
• Day to Day monitoring of the EWI status and escalation as necessary. The report itself is produced by Treasury in the daily MI pack.
• Monitoring of the liquidity limits in the daily MI produced by Treasury.
• Monitoring of Interest Rate Risks in the Banking book ("IRRBB").
• Ensure appropriate escalation of any limit breaches or trigger excesses.
• Ensure systems are an up-to-date reflection of documented risk appetite.
Interest Rates in the Banking Book
• Own the IRRBB methodology and ensure a review of the methodology at least annually.
• Report and Monitor all the Market Risk embedded in the Banking books, using the appropriate dimensions, such as PV01, Gap Reports, IRRBB.
• Design the Banking books Mandates
• Engage with Market Risk on Interest rate monitoring best practice.
• Engage with Model Validation with respect to the modelling aspects.
• Ownership of liquidity Stress Testing and IRRBB related policies to ensure that Policy documents are an up-to-date reflection of current risk appetite.
• Ownership of the risk appetite definition
• Provide independent review of treasury owned policies e.g. FTP Policy Documents and regulatory submissions e.g. ILAAP
• Represent Liquidity Risk and IRRRB from a 2nd line of defense function as a member of the Liquidity Sub Committee (LSC)
• Represent Liquidity Risk and IRRRB as an attendee at the Capital Committee as required
System Developments and New Products
• Participate in new systems development.
• Provide specification to IT / project team.
• Participate to the testing of new IT testing, UAT.
• New products (provide comments for NPPs) / liaise with Treasury to determine Risk mitigation strategies and formulate Risk's opinion.
• Ensure liquidity risks are quantified correctly in the IT systems and the risk is correctly represented.
• Provide a Clear leadership of the Liquidity Risk Function
• Establish a strong working relationship with Treasury, Global Markets, Operations, Product Control and IT.
• Provide stakeholders with answers to day-to-day stress testing questions and Liquidity Risk related questions.
Keep abreast of:
o PRA and Basel regulatory developments (Basel IV, NSFR, FRTB???).
o Industry best practice in term of risk monitoring and modelling.
Technical Capabilities and Expertise:
• In depth knowledge of Liquidity Risks stress testing techniques.
• Excellent knowledge of banking products in a dealing room context.
• Excellent quantitative and problem solving skills.
• A clear independent and effective communicator, persuasive in inter-personal communication.
• Ability to deliver practical solutions in a demanding high-pressure environment.
• Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines.
• Proficiency in Excel essential.
• Proficiency in VBA and Databases an advantage.
• Excellent academic references up to and including degree level in a quantitative discipline, higher degree desirable.
• The job holder will be a confident pro-active self-starter, an intelligent lateral thinker and a proble