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Belonging at Absa

Absa is committed to creating an inclusive workplace where everyone can thrive. We are an equal opportunity employer and welcome applications from suitably qualified individuals from diverse backgrounds. In support of our Diversity, Equity, Inclusion and Belonging (DEIB) commitments and Employment Equity objectives, preference may be given to candidates from underrepresented designated groups, including persons with disabilities. We encourage applicants who may require reasonable accommodation during the recruitment process to let us know so that appropriate support can be provided.

Job Summary

•Provide independent analysis and oversight of counterparty credit exposure across derivative portfolios, with a focus on Potential Future Exposure (PFE), mark-to-market (MTM), margin and limit utilization.

•Partner with Front Office, Credit Risk, Quantitative Risk, Finance and Technology teams to support pre-deal assessments, complex transaction analysis and informed credit decisions.

•Maintain a strong control environment by monitoring data quality, investigating exposure exceptions and ensuring that risk information is accurate, complete and appropriately escalated.

•Support the development, testing, validation and ongoing enhancement of counterparty credit risk models, systems and reporting processes, including Sigma, QlikView and associated ETL layers.

•Deliver clear portfolio analytics, stress testing and regulatory or management reporting, while translating technical counterparty credit risk concepts for senior stakeholders and governance forums.

Job Description

Key Accountabilities:

Exposure Management and Credit Analysis

• Calculate, analyse and explain PFE, MTM and related exposure measures for OTC derivatives, Securities Financing Transactions (SFTs), and structured products.
• Support Front Office and Credit Risk stakeholders with pre-deal calculations, ad hoc exposure analysis, limit setting and limit-utilisation queries.
• Assess the drivers of counterparty exposure at trade, netting-set and portfolio level, including the impact of collateral, margining, legal agreements and credit risk mitigation.
• Provide analysis and interpretation of complex transactions to support credit assessments and risk decisions.
• Monitor exposure and limit exceptions, investigate material movements and ensure timely escalation and resolution.

Model, Stress Testing and Risk Analytics

• Develop a sound working knowledge of PFE methodologies, model assumptions and the end-to-end exposure reporting process.
• Collaborate with quantitative and risk teams on model calibration, validation, back-testing and annual model reviews.
• Perform sensitivity analysis, stress testing and scenario analysis to assess the effect of market shocks and adverse conditions on counterparty exposure.
• Produce detailed portfolio analytics, including concentration, sector, wrong-way risk and other relevant counterparty risk views.
• Support stakeholder training and provide clear explanations of exposure methodologies, results and limitations.

Systems, Data and Process Improvement

• Monitor the accuracy and completeness of exposure data through effective data-quality controls, reconciliations, reporting and escalation.
• Assist with user acceptance testing for Sigma releases, model enhancements and other system changes.
• Provide clear business requirements to Technology teams and support testing, implementation and issue resolution.
• Help maintain and improve the existing risk system framework, including Sigma, QlikView models and relevant ETL processes.
• Identify opportunities to automate and streamline reporting, manual overrides, marginal risking and other recurring processes, while supporting strategic solutions.
• Document processes, methodologies, controls, test results and model changes to an appropriate audit and governance standard.

Reporting, Governance and Stakeholder Engagement

• Prepare accurate and timely regular and ad hoc counterparty credit risk reports for management, governance forums and regulatory authorities.
• Support daily margin reporting to the Prudential Authority and monthly stress-testing, scenario-analysis, KRI and management-information reporting.
• Prepare concise presentations and commentary that explain key exposure movements, concentrations, emerging risks and control matters.
• Represent the team in counterparty credit risk workstreams and contribute PFE and MTM considerations to cross-functional discussions.
• Maintain awareness of relevant market developments, regulatory changes and industry practice, including SA-CCR and margin requirements.
• Accuracy, completeness and timeliness of counterparty exposure analysis and reporting.
• Effective identification, investigation and escalation of data, model, system and limit issues.
• Clear ownership of assigned deliverables and adherence to governance, control and documentation standards.
• Constructive collaboration with stakeholders across Front Office, Credit Risk, Quantitative Risk and Technology.

Required Qualifications and Experience

• Bachelor's Degree or Advanced Diploma in Risk Management, Financial Risk Management, Mathematics, Statistics, Economics or a related quantitative discipline.
• One to three years of relevant experience in counterparty credit risk, derivatives or quantitative risk.
• Working knowledge of financial markets, derivative products, exposure measurement and risk metrics.
• Professional qualifications such as FRM or CA(SA) are advantageous.
• Exposure to counterparty credit risk regulation, including SA-CCR and margin requirements, is advantageous.

Technical Skills and Knowledge

• Understanding of counterparty credit risk concepts, including netting, collateral, legal agreements, margining and credit risk mitigation.
• Ability to interpret complex datasets, perform root-cause analysis and translate results into practical risk insights.
• Advanced Excel capability; experience with Power BI, Python, SQL or other automation and analytics tools is advantageous.
• Experience with risk systems, data visualisation tools and data-processing workflows; Sigma and QlikView exposure is advantageous.
• Knowledge of model governance, validation, back-testing, stress testing and data-quality control principles.

Behavioural Competencies

• Strong analytical judgement, attention to detail and a disciplined approach to controls.
• Clear written and verbal communication, with the ability to explain technical concepts to diverse audiences.
• Proactive, self-motivated and accountable, with the ability to manage multiple priorities in a fast-paced environment.
• Collaborative and solutions-focused, with the confidence to challenge constructively and escalate when required.
• Curious and improvement-oriented, with a commitment to developing technical and regulatory knowledge.

Key Stakeholders

• Front Office and Trading Desks
• Credit Risk and Counterparty Credit Risk teams
• Quantitative Risk and Model Validation
• Technology, Data and Infrastructure teams
• Regulatory Reporting, senior management and governance forums

 

Education

Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)