Exposure Management recruitment

The Exposure Management Group (EMG) is a core function within the Risk division and is responsible for analyzing pre-deal credit exposure for the whole spectrum of derivative products, including FX, rates, equity, commodity, repo, structured credit including correlation trades, ABS, SPVs, and dynamic hedging. 

EMG is a primary contact point for Structuring, Sales and Trading for pre-deal check requests and the discussion of risk profile, risk reduction measures and the impact of new transactions on the existing portfolios. With Risk, EMG discusses trades, highlights sensitivities and makes credit officers aware of the nature, the quantum and the assumptions for the assessment of the risks.

The group also performs analysis on portfolio level, highlighting possible extreme movements in MtM driven by market factors and makes Credit aware of any highly structured or highly sensitive transactions. EMG’s mandate also includes defining clearing / Prime Brokerage margin methodologies, management of the SPV repack portfolio and calibration of the credit risk engine models.

EMG is also responsible for stress testing of the derivatives portfolio and preparing reports and presentations based upon the results.

The group also undertakes a variety of projects to develop pre-deal check methodologies, tools and other projects requiring interaction with other departments such as Risk Analytics, Credit Operations, and Market Risk Management. We ensure consistency with global discussions with other EMG locations.

You will have:

• Be a member of a team of EMG analysts,

• Be involved in the analysis and quantification of credit risk on derivatives exposure for both flow trades and structured transactions on a pre-deal check basis

• Daily interaction with credit officers and front office sales, structuring and trading to discuss trade structures. 

• Work with various other functions in the bank as appropriate to facilitate new trade and existing portfolio reviews, and work on reflecting the risks appropriately in the banks systems.

• Quantitative credit risk analysis of existing derivative transactions on counterparty, portfolio and individual trade levels. This may involve working with existing spreadsheet tools or setting up customized tools which use the bank’s internal pricing models.

• Checking stress tests results and preparing reports and presentations based upon the results

• Working with other Exposure Management teams globally to ensure a consistent approach

• Working with other related groups in the bank as appropriate- For example, interaction with the methodology team to ensure appropriate credit risk methodologies are being used consistently within the bank.

• Formulating stress test methodology for the derivatives portfolio

Essential skills:

• Good knowledge of rates, FX, commodities, equities and credit business areas and products.

• Understanding of risks both on trade and portfolio level

• Strong analytical skills

• Good team-working skills;

• Excellent communication, both written and oral

• Strong mathematical and statistical background but able to simplify complex transactions for a non technical audience, eg credit officers

• Fluency in English

• Ability to multi-task and prioritize resources among various projects.

• Good working knowledge of Excel and VBA

Preferable skills:

• Good working knowledge of MS Access and programming knowledge

• SQL