Treasury Analyst

Website Absa Group Limited

Job Description:

Daily management of the interest rate and FX risk position of the ABMs’ banking book under the Structural Hedge and Fixed rate risk management Programme, managed by Treasury. Daily monitoring of interest rate risk limits, monitoring changes in the structural and fixed risks and hedging effectiveness

Job Responsibilities:

  • Lead the management of fixed and structural rate risk positions – Explain and monitor the impact of fixed / structural rate risk positions and hedging on IRRBB metrics, advising on monthly movements and escalation of rising risk positions
  • Identify and monitor the ABM’s interest rate risk exposures centralised in Treasury by understanding and explaining the drivers of changes in all ALM risk metrics (NII risk and EVE risk)
  • Lead the production and management of the monthly analytics required to explain and monitor the core drivers of NII and EVE risk and IRRBB gap risk for ABM
  • Engage Business to identify and monitor the bank’s fixed rate risk exposures. Report risk positions and changes on a monthly basis and agree the risk mitigation activities required with TES to mitigate risks and operate within risk limits
  • Lead the production of monthly and ad hoc MI required to explain the fixed rate risk positions arising in RBB, CIB and Treasury. Ensure positions are aligned to Business and Treasury trade books and Finance records.

Job Requirements:

  • Banking experience in a treasury environment, risk or finance
  • Highly numerate with a strong analytical background.
  • Deep expertise in IRRBB risk modelling and hedging strategies
  • B-degree
  • > 5 years QRM modelling experience (development and implementation)
  • Strong experience with senior management reporting, influence and stakeholder management
  • > 5 years (Technical/Managerial) IRRBB experience

Job Details:

Company: Absa Group Limited

Vacancy Type: Full Time

Job Location: Johannesburg, Gauteng, South Africa

Application Deadline: N/A

To apply for this job please visit

 Report Job