CIB – Risk – Market Risk Coverage – F&O – VP
Group description:
Market Risk ("MR") is an independent control group which performs a key role in the bank's control framework. MR group for FO and OTC Clearing business is responsible for contingent market risk that can arise from margin shortfall upon a client default in a stressed market environment. FO and OTC transactions that give rise to risk exposures span multiple asset classes including Commodities, Equities, Interest Rates, FX and Credit. We work in partnership with the Business and Credit to ensure that risk positions are adequately identified, measured, monitored and controlled.
Given the complexity of the clients' derivative portfolios, MR is tasked with ensuring transparency of tail risks to senior management and the business. MR highlights concentrations in risk and work with the business and other MR groups to fully understand their implications from a risk/return perspective. MR works to optimise the firms return on risk, and to reduce volatility in operating performance. The coverage group forms the primary interface for discussing risk issues with the business management.
Responsibilities:
• Coverage of EMEA FO business
• Analyze derivative portfolios across multiple asset classes identifying idiosyncratic / tail risks.
• Highlight concentrated or concerning risk positions and work with the Business and Credit to ensure they are appropriately reported and managed
• Define/analyze stress scenarios to capture complex and outright risks
• Review and approve new product initiatives
• Lead change in market risk system technology architecture
• Track current market environment against core risks, to ensure large margin call surprises are avoided
• Identify various client operating models within sectors such as hedge funds, asset managers, broker dealers etc and develop risk roadmaps to understand systemic risks presented to clearing business from those business models
Qualifications:
• Prior experience in risk management and in cleared derivatives, such as futures, options, forwards and swaps. MBA or CFA/FRM designations a plus.
• Strong understanding of the futures, options and cleared OTC industry including valuation, risk analysis, exchange connectivity, give-up agreements and trade execution
• Experience in VaR modeling, scenario analysis, stress testing and a strong understanding of CCP margin methodologies
• Good project management skills, inquisitive nature and attention to detail
• Ability to quantitatively analyse, distil and communicate key information from financial data
• Strong team player with ability to interact with internal groups, external clients and within Market Risk, including managing issues across geographic regions
• Familiarity with clearing systems such as Sungard GMI or Rolfe Nolan a plus
• Understanding of the futures delivery process is a plus
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