Risk Developer Forexclear recruitment
Overview
Reporting to the Risk Manager, FX, and the role will be to support the day-to-day risk management function and to lead implementation and development of risk management solutions.
The role will involve gathering the key requirements for the risk management function, including processes, reporting and monitoring requirements and developing the appropriate tools.
Responsibilities
Development
• Ensure best practice, market standards and analytical rigour are applied at all times.
• Ensure understanding of detailed calculations, including the assumptions inherent within margin algorithms and curve building methodologies.
• Support the risk management desk in developing algorithms to ensure that risk management practice remains within policy and in line with market best practice; recommending areas for improvement as appropriate.
• Provide regular updates and explanation of Murex capability/constraints to the team.
Analysis and Reporting
• Develop analysis and reporting tools for the risk management desk to monitor PL variation, IM changes and risk projection
• Identify and understand the key reports available and work with the risk analysts to understand the needs for analysis and reporting
• Enhance current reporting tools and enhance technology and models
Data management
• Build a tool to assist in the data management process from the treatment of data files in input to qualitative and quantitative analysis of the data in output.
• Perform a survey on data management and analysis software on the market
Stress-testing • Develop a tool to help the risk analyst to assess the plausibility of stress scenarios
• Understand the requirements and design a solution to integrate this analysis as part of LCH.Clearnet organisation by maximising the use of internal systems
• Work in an agile mode with risk analysts to build and validate the functions and algorithm.
Operational
• Support the risk management desk on a day to day basis.
Testing
• Perform a first level validation to identify potential regression and conduct investigation for resolution. Request further information if appropriate from the team.
Required skills and experience
Must have Middle Office, Front Office or risk management developer experience
• Strong Excel and VBA knowledge applicable to financial markets
• Advanced Excel and programming competency, in particular VBA, SQL, C++.
• Strong numerical competency.
• Quantitative background (mathematics/finance/economics)
• Conceptual and practical knowledge of risk management in Forex and/or interest rate products including Forward swaps and options
• Logical approach to addressing issues and problem solving.
• Effective communication skills
Would like:
• Application of systems knowledge and experience of spreadsheet programming, experience of process automation/enhancement.
• Specific knowledge of FX products or interest rate products, including Forward swaps and options, risk management
• Financial Services Vendor Systems such as Murex or Calypso