Capital Markets Authority Job Vacancy : Head of Risk Analysis and Stress Testing (Derivatives Unit)


Job Description

The Capital Markets Authority is a statutory agency charged with the responsibility of regulating and developing an efficient capital market in Kenya.
The Authority invites applications from dynamic, goal – oriented, high performers, with strong problem – solving skills, for the following position:
Head Risk Analysis and Stress Testing – Derivatives Unit
Ref: HCA/FHRAST/8/2015
1 Position

Reporting to the Manager, Derivatives Unit, the successful candidate will be responsible;

  • To monitor volatility of Derivatives contracts to determine adequacy of price and position limits;
  • To advise and guide on initial determination and continual adequacy of initial margins, special margins, delivery margins, etc. for each and every futures contract;
  • To advise and guide on initial determination and continual assessment of adequacy of worst case margins, clearing limits and position limits from market level to the client level;
  • To guide on initial determination and continual adequacy of price limits, circuit breakers and any other risk management tools;.
  • To review and advise on stress testing the adequacy of Settlement Guarantee Fund;
  • To conduct credible stress testing scenarios;
  • To keep abreast with and advise Senior Management on best practices and trends on margining methodology and stress testing techniques (including for Central Counter Parties-CCCPs);
  • To monitoring volatility of all futures contracts listed at the Derivatives exchange and in particular, building up of price bubbles and/or extreme price moves; and
  • To interact with ‘Price & Market Surveillance’ Head on any unexpected or unusual price movements and determine reasons thereof.
  • Performing other duties as assigned from time to time

Minimum Qualifications and Experience

  • Bachelor’s degree in statistics, mathematics, econometrics or in actuarial mathematics or relevant field.
  • Proficiency in risk management and market surveillance is definite advantage
  • Minimum of six (6) years relevant experience in the derivatives markets sector with at least 3 years’ experience in conducting risk management and surveillance in a Derivatives market environment
  • Key Skills, Knowledge & Competencies
  • Ability to optimize the use of the surveillance system to identify unusual price and position movements in a Derivatives Exchange, through effective risk management;
  • Ability to conduct regular back testing and stress testing of the Derivatives market’s default waterfall using various methodologies ;
  • Proficiency in computer applications such as Microsoft Word, Excel, Access, PowerPoint and Outlook Express including financial and statistical packages;
  • High level interpersonal and cross-cultural skills including ability to build alliances and collaborative relationships with sensitivity to diversity;
  • Ability to maintain high standards of integrity; establish straightforward, productive relationships;
  • Ability to treat individuals with fairness and respect, demonstrating sensitivity for ethnic, cultural and gender differences;
  • Ability to develop and implement performance management systems, giving candid performance feedback, rewarding desirable behaviours and providing support to professional development efforts linked to Derivatives market risk management;
  • Ability to conceptualize, innovate, plan and execute ideas and to transfer knowledge and skills; and
  • Ability to deliver results and to manage change,

How to Apply

If your background, experience and competence match the specifications outlined, please send your application, quoting the reference of the position you are interested in, including your current curriculum vitae, copies of your certificates and other testimonials, salary history, three referees (one of who must be either your current or previous employer), day telephone number, e-mail address and details of your current salary and benefits to: The Chief Executive, Capital Markets Authority P. O Box 74800 – 00200,
Applications should be received on or before 11th September 2015
Only shortlisted candidates will be contacted for interviews.
“Capital Markets Authority is an Equal Opportunity Employer.
Persons with disabilities are encouraged to apply”.