Role Context

This role ensures that risk exposures are effectively identified, measured, monitored, and mitigated to enable sustainable growth, enhance resilience in diverse African markets, and support the ARRP’s goals of capacitating value chains, expanding trade, and driving economic transformation in East and Central Africa.

THE KEY RESPONSIBILITIES

Market Risk Management

• Maintain the Group Market Risk Management Framework and policies covering banking book and trading book exposures for the Bank and market/asset liability exposures for the Insurance Group.
• Ensure alignment with:
  • Basel III/IV market risk standards (Bank)
  • IFRS 17 investment risk requirements (Insurance)
  • Central bank and insurance regulatory guidelines
• Develop and oversee methodologies for:
  • Value at Risk (VaR), Expected Shortfall (ES)
  • Sensitivity analysis (PV01, DV01, FX & IR sensitivities)
  • Interest rate risk in the banking book (IRRBB): EVE and NII sensitivity
  • Equity and property investment risk (Insurance)
  • Duration, convexity, and ALM mismatches
• Monitor compliance with market risk appetite and limits:
  • FX position limits
  • Interest rate risk limits
  • Trading book VaR/ES limits
  • Investment portfolio limits for Insurance entities
• Identify emerging market and liquidity risks: FX volatility, interest rate shocks, credit spread widening, equity downturns.
• Produce monthly and quarterly market risk reports for Group ALCO, Insurance investments committees and Board Risk Committee

Liquidity Risk Management

• Maintain the Group Liquidity Risk Framework and policies, ensuring banking and insurance requirements are clearly differentiated.
• Ensure alignment with:
  • LCR, NSFR, ILAAP expectations (Bank)
  • Liquidity coverage, stress scenarios, and cashflow matching per insurance regulations (Insurance)
• Support Group wide liquidity stress testing across both the Bank and Insurance entities, incorporating:
  • Market wide stress
  • Name specific stress.
  • Combined stress
  • Large policyholders surrender risk (Insurance)
  • Loss of wholesale funding (Bank)

ICAAP and Enterprise-wide Stress Testing

• Support the ICAAP framework, calendar, and end‑to‑end production across entities and the Group.
• Align ICAAP with business plan, risk appetite, and recovery options, ensuring credible capital trajectories and buffers.
• Coordinate cross‑functional contributions (Finance, Treasury, Credit, Market Risk, Model Risk, Strategy) and drive a strong use test (ICAAP informs decisions
• Design and maintain a Group stress testing policy and methodology (top‑down and bottom‑up), with severe‑but‑plausible scenarios.
• Calibrate macro paths (GDP, inflation, rates, FX, unemployment) and satellite models linking macro factors to losses, NII/EVE, RWA, capital, liquidity, and earnings.
• strategies and stakeholder needs.

CORE ACCOUNTABILITIES AND DELIVERABLES

Financial

• Effective monitoring and control of market and liquidity risk exposures within approved risk appetite.
• Accurate and timely risk metrics supporting capital, liquidity, and balance sheet optimization.
• Contribution to sustainable profitability through improved financial risk insights.

People

• Support capability building and knowledge sharing across the department.

Processes

• Maintain robust financial risk monitoring, reporting, and escalation processes.
• Ensure compliance with internal policies, regulatory guidelines, and governance frameworks.
• Drive continuous improvement and automation of risk reporting processes.

Systems

• Utilize and support enhancements to market and liquidity risk systems, models, and reporting tools.
• Partner with IT and data teams on system upgrades, controls, and data quality initiatives.

Customers / Stakeholders

• Provide clear, concise, and actionable risk insights to Treasury, ALCO, senior management, and regulators.
• Act as a trusted risk partner to business and treasury stakeholders.

Qualifications

EXPERIENCE REQUIREMENTS

• Minimum of 7 years’ related areas within the financial services industry, 4 years in Market and Liquidity Risk experience

ACADEMIC QUALIFICATIONS AND CERTIFICATIONS

Must-Haves

• Bachelor’s degree in Statistics, Risk Management, Finance, Banking, Accounting, Mathematics, Actuarial or a related field.
• Professional qualifications such as ACI (ACI Financial Markets Association), FRM (Financial Risk Manager), or CFA (Chartered Financial Analyst) or Actuarial certifications

• Maintain the Group Market Risk Management Framework and policies covering banking book and trading book exposures for the Bank and market/asset liability exposures for the Insurance Group.
• Ensure alignment with: Basel III/IV market risk standards (Bank), IFRS 17 investment risk requirements (Insurance), Central bank and insurance regulatory guidelines
• Develop and oversee methodologies for: Value at Risk (VaR), Expected Shortfall (ES), Sensitivity analysis (PV01, DV01, FX & IR sensitivities), Interest rate risk in the banking book (IRRBB): EVE and NII sensitivity, Equity and property investment risk (Insurance), Duration, convexity, and ALM mismatches
• Monitor compliance with market risk appetite and limits: FX position limits, Interest rate risk limits, Trading book VaR/ES limits, Investment portfolio limits for Insurance entities
• Identify emerging market and liquidity risks: FX volatility, interest rate shocks, credit spread widening, equity downturns.
• Produce monthly and quarterly market risk reports for Group ALCO, Insurance investments committees and Board Risk Committee
• Maintain the Group Liquidity Risk Framework and policies, ensuring banking and insurance requirements are clearly differentiated.
• Ensure alignment with: LCR, NSFR, ILAAP expectations (Bank), Liquidity coverage, stress scenarios, and cashflow matching per insurance regulations (Insurance)
• Support Group wide liquidity stress testing across both the Bank and Insurance entities, incorporating: Market wide stress, Name specific stress, Combined stress, Large policyholders surrender risk (Insurance), Loss of wholesale funding (Bank)
• Support the ICAAP framework, calendar, and end‑to‑end production across entities and the Group.
• Align ICAAP with business plan, risk appetite, and recovery options, ensuring credible capital trajectories and buffers.
• Coordinate cross‑functional contributions (Finance, Treasury, Credit, Market Risk, Model Risk, Strategy) and drive a strong use test (ICAAP informs decisions
• Design and maintain a Group stress testing policy and methodology (top‑down and bottom‑up), with severe‑but‑plausible scenarios.
• Calibrate macro paths (GDP, inflation, rates, FX, unemployment) and satellite models linking macro factors to losses, NII/EVE, RWA, capital, liquidity, and earnings.
• Effective monitoring and control of market and liquidity risk exposures within approved risk appetite.
• Accurate and timely risk metrics supporting capital, liquidity, and balance sheet optimization.
• Contribution to sustainable profitability through improved financial risk insights.
• Support capability building and knowledge sharing across the department.
• Maintain robust financial risk monitoring, reporting, and escalation processes.
• Ensure compliance with internal policies, regulatory guidelines, and governance frameworks.
• Drive continuous improvement and automation of risk reporting processes.
• Utilize and support enhancements to market and liquidity risk systems, models, and reporting tools.
• Partner with IT and data teams on system upgrades, controls, and data quality initiatives.
• Provide clear, concise, and actionable risk insights to Treasury, ALCO, senior management, and regulators.
• Act as a trusted risk partner to business and treasury stakeholders.

• Market Risk Management
• Liquidity Risk Management
• Insurance Risk Management
• Risk Framework Development
• Methodology Development
• Risk Monitoring and Reporting
• Regulatory Compliance
• Stress Testing
• ICAAP Framework
• Data Analysis
• Stakeholder Management
• Communication

• Bachelor’s degree in Statistics, Risk Management, Finance, Banking, Accounting, Mathematics, Actuarial or a related field.
• Professional qualifications such as ACI (ACI Financial Markets Association), FRM (Financial Risk Manager), or CFA (Chartered Financial Analyst) or Actuarial certifications