Senior Risk Analyst – Fixed Income recruitment

Overview

 

As part of a team of 6 the role will be to help manage and run the in the day-to-day market risk management of bonds and repos. The individual will also be involved in assisting in the enhancement of the existing risk management tools and processes including developing in-house tools; involvement in the setting of margin rates; risk assessment of new and existing cleared products (including requirements definition and user acceptance testing); liaison externally with members and internally with other departments; and general support of all of the team's functions.

Responsibilities TasksInitial Margin

Ensure understanding of the detailed calculations; including the assumptions inherent within the algorithm.

Assisting to ensure that parameters are reviewed in line with policy.

Assisting to ensure regular back-testing of algorithms is completed against observed member portfolios.

Assisting to ensure the adequacy of initial margin is reviewed regularly and that members for whom initial margin is insufficient are highlighted and action taken.

Assisting to ensure all new and existing products are appropriately margined.

Assisting with the pro-active review of existing 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, both intra-day and end-of-day, are reviewed against market best practice and that valuations are reflective of prices that could be achieved in the event of a member default.

Assisting to ensure all new and existing products are appropriately valued.

Assisting with pro-active review of existing policies highlighting areas where policy or parameters need, or would benefit from, amendment.

Market Monitoring

Produce regular reporting to identify exceptional positions; recommending further action as appropriate including liaising and requesting further information from exchanges; regulators or member firms.

Ensure detailed understanding of the characteristics of cleared markets and, insofar as they are related, uncleared markets.

Maintain and develop stress testing.

Monitor and remain abreast of external market factors including new products.

Operational

Ensuring that the daily operational tasks are completed on a timely basis and within the scope of defined risk management policies.

  

Involvement in internal projects to develop and enhance internal risk management processes.

Ensure valuation of collateral is consistent with market practice and valuation policies.

Default Management

Obtain a full understanding of the Default Management Process thus ensuring that the team is able to manage any default of a member firm.

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.