Senior Risk Manager
Overview
My client's Fixed Income service is responsible for the clearing of bonds and repos. Fixed Income supports clearing in 15 market segments and offers a wide range of products and services to a variety of international banks and broker-dealers and maintains a close working relationship with national regulatory authorities and market infrastructure providers.
Reporting to the Head of Fixed Income Risk Management, the candidate will take a leading role in implementing the first line of defence risk function for the Fixed Income business, which entails both BAU and change management activities. This includes ensuring that the first line of defence risk management for Fixed income is done with the highest levels of quality and care and in a form that is consistent with my client’s Risk Policies and Guidelines. In addition to these internal focuses the role will be involved in external initiatives including:
•Expand the service offering of Fixed Income to end-user clients and
•Redefine the Fixed Income service’s risk relationship with members so the team viewed as the market leader.
The candidate will have 7-10 years relevant experience with a proven track record in the risk management of bond and repo instruments within a financial services risk management area and a detailed understanding of all issues pertaining to the market and credit risk associated with Fixed Income clearing. In particular, the candidate should possess a comprehensive knowledge and practical experience of market risk concepts such as VaR (Value at Risk), sensitivities and stress testing.
The candidate will be highly motivated, possessing both strong technical (including VBA) and communication skills to enable close working relationships with internal and external stakeholders alike. The candidate will take responsibility for the delivery of risk management change and will deliver to tight project timeframes for service launches.
Main responsibilities
Play a leading role in building and managing a dedicated team which will be responsible for the following tasks:
Business Line Risk Monitoring and Support:
Risk Reporting - efficient and automated production of daily reports and metrics.
Risk Escalation – escalate outlying, new or novel risk exposures, including engagement with the second line of defence
Member Monitoring - positions, concentrations, margins
Market Monitoring - news, events, risks
Market Data Monitoring - member submissions, prices, curves
Default Fund Monitoring - adequacy, trends, metrics
Default Fund Sizing - monthly calc, member comms
Additional Margin - calculation and calling of (within policy)
Margin Parameters - maintenance of approved parameters
Stress Testing - maintenance of approved scenarios and calculation
DMP / Fire drills - responsible for preparation of portfolio MI and auction file production/assessment of auction results.
DMG – ability to deputise when required and confidently present portfolio MI
Risk Working/Focus Group – prepare and present topics to member groups
Member BAU Risk Queries - providing first line of support
OHS - out of hours support and incident management
Member Meetings - support on risk management topics
Member Training - for both BAU and DMG/DMP
UAT - new products and new releases
Regression Testing - new products and new releases
Quant Support - provided to BAU Risk Operations as required
Change Support - defining/writing change requirements and specifications
Quant Testing - for new products/services and other change
Margin Replication Tools - specification and support
New Products - analysis, modelling, market research:
Models and Methodology
Margin Methodology - definition of methodology
Margin Methodology - daily exception analysis
Margin Methodology - backtesting, analysis of performance, and escalation
Margin Methodology - analysis, modelling of proposed changes / enhancements
Sensitivity Testing - perform tests, assess performance and escalate
Reverse Stress Testing - perform tests, report and escalate
Pricing and Valuation - review effectiveness and escalation
Stress Testing - propose stress scenarios
Regulatory engagement:
New Model / Product Approval Submission - Write
New Model / Product Approval Submission - Present
BAU reporting and incidents
Required Skills and Experience
•Proactively develop a close working relationship between the Fixed Income
Business first line of defence and Group Risk to ensure an effective and efficient
relationship is maintained and that synergies and crossover are realised where
possible.
•Assist the Fixed Income business in the engagement of clients with regard to the
implementation of new, or changes to existing, Risk policies
•Support a culture within Fixed Income of positive challenge and constant
improvement to existing processes and methodologies to ensure that efficiency is
maximised and that process innovation is a core competence of the Fixed Income
organisation
•Represent the Fixed Income business in Market Risk Management Committee
If you are interested in this position and genuinely meet the criteria please get in touch.
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