Market Risk Manager – Rates & FX recruitment
The role -
Daily analysis of the market risk exposures within the Rates FX Trading business area. Perform a daily analysis on the evolution of the VaR and the key Risk metrics.
Implement and develop an appropriate risk reporting process for the Rates, FX Trading portfolios, highlighting the key Market Risks Factors and their potential impact
You will be asked to build strong relationships with the front office teams and also work closely with finance, regulatory and risk teams.
Previous experience of developing stress testing framework for the FX Trading portfolio
Monitoring of the Market Risk Limits and application of the excess procedures. Obtain desk sign-off and escalate breaches as per Market Risk procedure.
• Document all limit breach and ensure proper escalation.
• Ensure desk reports are timely signed off, as per current procedure.
• Update the VaR database.
• Perform back-testing, providing a summary on business activity including major exposures and current market updates.
In this role you will provide assistance on the relation with the regulator. (e.g.: CAD2 FSA application) and participate to the building of the CAD2 quarterly pack sent to the FSA on Market Risk.
Review back-testing, as per BIPRU Chapter 7 specifications. Obtain commentary from Product Control for Pamp;L exceptions, and ensure a prompt reporting of the exceptions.
The ideal candidates will have a number of years at one institution and show progression through a permanent career.
This is a permanent opportunity; please contact me for more information.