CIB – Risk – Market Risk Coverage – OTC Clearing – 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 OTC Clearing business
• Analyze derivative portfolios across multiple asset classes identifying idiosyncratic / tail risks.
• Highlight concentrated or concerning risk positions and work with the Business to ensure they are appropriately reported and managed
• Work with the Business management, Credit Risk Management, Credit Portfolio Solutions and Technology on all risk management issues
• Define/analyze stress scenarios to capture complex and outright risks
• Review and approve changes to current product scope
• Lead change in market risk system technology architecture
• Track current market environment against core risks, to ensure large margin call surprises are avoided
• Partner with the Business and other MR coverage groups to develop new tools and metrics to make the important risks and margin drivers more transparent to senior management
Qualifications:
• Prior experience in derivatives risk management or trading is preferred. MBA/CFA/FRM certification a plus.
• Strong analytical quantitative skills with focus on risk management and derivative models
• Strong interest-rates, FX and Credit market and product knowledge
• Good project management skills, inquisitive nature and attention to detail
• Ability to quantitatively analyze, 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
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