Market Risk Analyst recruitment

Overview

The Clearing House needs to provide robust and prudent risk management in order to meet its overriding objective: to provide Clearing Members with a central counterparty of the highest quality and to safeguard the interests of the company's shareholders and contributors to its Clearing Funds. Reporting to the FX Risk Manager, the role will be responsible for supporting the day-to-day risk management of the OTC foreign exchange business. The individual will take active involvement in performing critical processes, reporting and monitoring, and general execution of the risk management function. The role will also involve participation in a risk-related project work, requiring significant liaison with internal and external stakeholders.

Responsibilities

Initial Margin

• Ensure understanding of the detailed calculations; including the assumptions inherent within the margin algorithm.
• Ensure adequacy of algorithms is tested in line with policy.
• Ensure that parameters are reviewed in line with policy.
• Ensure regular back-testing of algorithms is completed against observed member portfolios.
• Ensure the adequacy of initial margin is reviewed regularly and that members for whom initial margins are insufficient are highlighted.
• Manage any development of initial margin algorithms to ensure that risk management practice remains within policy, recommending areas for improvement as appropriate.
• Prepare reports on the performance of the policies for Senior Management and the Risk Committee(s) on a periodic basis.
• Ensure all new and existing products are appropriately margined.
• Ensure pro-active review of existing risk policies highlighting areas where policy or parameters need, or would benefit from amendment. Valuation

• Ensure understanding of the detailed calculations; including the assumptions inherent within the curve building methodologies.
• Ensure that valuation policies and procedures are reviewed against market best practice and that valuations are reflective of prices that could be achieved in the event of a member default.
• Manage any development of algorithms to ensure that risk management practice remains within policy.
• Ensure that the algorithms remain in line with market best practice; recommending areas for improvement as appropriate.
• Ensure all new and existing products are appropriately valued.
• Ensure pro-active review of existing policies highlighting areas where policy or parameters need, or would benefit from amendment. Stress-testing

• Maintain product specific stress-testing scenarios; ensuring that additional historical or theoretical scenarios are considered for inclusion in the model where observed market conditions, changes or potential changes in market behaviour would warrant consideration.
• Assess stress testing losses daily to ensure continued adequacy of relevant default funds.
• Ensure that new products are included within the model appropriately and any new scenarios recommended for inclusion if appropriate. Market Monitoring

• Ensure that regular reporting is produced to identify exceptional positions; requesting further information if appropriate from exchanges; regulators or member firms.
• Ensure detailed understanding of the characteristics of cleared markets and, insofar as they are related, un-cleared markets.
• Ensure detailed understanding of the delivery or settlement arrangements for cleared products.
• Ensure that measures of liquidity and market behaviour are in place to quantify potential risks.
• Ensure that policies and procedures are applied consistently across products regardless of trade source of origin.
• Pro-actively review all cleared products to ensure that all products; including their maximum maturity restrictions; remain clearable in line with policy.
Default Management
• Ensure that procedures and sufficient understanding is in place to manage the default of a member firm.
• Ensure that trading arrangements are in place with market counterparties in order to trade out positions following a member default. Operational

• Ensuring that the daily operational tasks are completed within the scope of defined risk management policies.

Required skills and experience

Essential:

• Strong experience within a central clearing organisation, broker or investment bank, incorporating knowledge of the full product life cycle
• Degree qualified/risk professional
• Specific knowledge of FX and/or interest rate products.
• Strong conceptual and practical knowledge of risk management in FX and/or interest rate products.
• Logical approach to addressing issues and problem solving.
• Effective communication skills Desirable:

• Quantitative background (mathematics/finance/economics)
• Application of systems knowledge and experience of spreadsheet programming, experience of process automation/enhancement.

Additional Job Board Text

LCH.Clearnet is the leading independent clearing house group, serving major international exchanges and platforms, as well as a range of OTC markets. It clears a broad range of asset classes including: securities, exchange traded derivatives, energy, freight, interbank interest rate swaps credit derivative swaps, and euro and sterling denominated bonds and repos; and works closely with market participants and exchanges to identify and develop clearing services for new asset classes. LCH.Clearnet Group Ltd is owned 83% by users and 17% by exchanges.