Client Overview
A leading international bank (European headquartered) operating in over 70 countries, with nearly 200,000 employees (of which 150,000 are in Europe). They cover Domestic Markets, International Financial Services and Corporate & Institutional Banking, (CIB serves corporate clients and institutional investors and is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.
Business Area / Department Overview
This role is within RISK Global Markets – Analysis – EQD Market Risk GBL team. This team is covering the market risk generated by the Global Markets EQD Business Line.
Its main responsibilities are:
Business line leadership
· Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate. Understanding the application of processes under the responsibility of other RISK GM teams to the business line.
Risk anticipation and detection
· Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks:
· Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions.
· Escalation to RISK and business management.
Risk control framework
· Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.
Management of specific processes
Business line leadership
Responsible:
· Point of contact for GM on GBL market risk topics.
· Articulation of main risks and risk opinion to management.
· Review of and opinion on information and views provided by GM.
· Understanding valuation, capital, funding, and liquidity impact of business line.
Contribution:
· Provide support as business-line expert to other RISK teams.
· [M&M responsibility] Understand business-line valuation models and methodologies and escalate weaknesses and concerns.
· [RISK ERA SIGMA resp.] Understand market risk capital framework and escalate weaknesses and concerns.
· [CSAT resp.] Market risk analysis of structured/complex transactions as part of NAC/TAC.
Risk anticipation and detection
Responsible:
· Understanding the valuation, risk and P&L of business line activities in the context of current, past and potential market conditions.
· Animation of Main Position meetings and other forums with the business line, providing independent risk analysis and opinion, escalation of risk topics, and challenge to the business view.
· Providing accurate and appropriate risk information and opinion to the CMRC and other senior management forums. Escalating risk topics to senior management as needed.
· Performing in-depth, ad hoc analysis, formulating an opinion and escalating as needed, while judging priority, on any and all market risk topics affecting the business line.
Contribution:
· [MCLAR responsibility] Reporting market risk exposure and measures (e.g. VaR, stress tests).
Risk control framework
Responsible:
· Analysing the business line with the tools available, driving the improvement of these tools, and ensuring that risks for which tooling or data is inadequate are nevertheless adequately understood.
· Setting and ensuring timely review of market risk limits in line with RAF.
· Escalation of limit excesses.
· Definition and application of IPV methodologies and control of non-tradable/exotic market parameters where responsibility not transferred to Services, M&M or V&RC.
· Review and approval of the market risk of transactions outside of CSAT scope, with reference to ET and MPM frameworks.
· Approval of amendments to trading mandates for French Banking Law/Volcker Rule desks.
Contribution:
· Definition of risk measurement methods such as stress tests (STSC responsibility), regulatory measures (dedicated committees), VaR methodologies (MARCo).
· [Services responsibility]:
· Work with Services, Risk Systems and GM to ensure appropriate market risk representation.
· Provide support for regulatory requests and missions: e.g. On-Site Inspections, Quantitative Impact Studies, Bank Reform Committees (e.g. Sub ICC).
· [Counterparty and Collateral resp.]: Contribution to collateral eligibility process.
· Support assessment of quality, liquidity and price volatility of securities;
· Recommend valuation methodologies of complex collateral in collaboration with M&M.
· [Finance VRG resp.] Contribute to Non-Standard Booking process including Complex Booking approval, review of approximate booking and non-contractual data methodologies (where not covered by M&M).
· [Services responsibility] Contribute to FBL/Volcker Rule control plans.
· [Services responsibility] Participate in VaR sign off process.
Purpose & Scope of Role
Purpose: Market Risk analysts are in charge of the day-to-day monitoring of the market risks.
Scope: Global
Key Responsibilities of Role
Market Risk analyst within the GBL Market Risk Team with a contribution to transversal topics and projects:
· Risk Analysis and Reporting
· Risk Limits
· New Risks
· Stress Testing
· Market Parameter Monthly Review (MAP)
· Contribute to the work performed by the RISK GM Models & Methodologies stream
· Contribute to the various topics led by the RISK GM Services stream
Qualifications
Education:
Master Degree/Engineering School in Science, Economy, Finance.
Experience:
Substantial experience in Capital Markets:
Good knowledge of options principles (trading, risk management) and derivatives markets (products and markets).
IT Skills:
Good level of Excel + VBA + Python or R.
Quantitative ability.
Soft skills:
Ability to understand, identify and communicate key risks associated with a variety of transaction structures and products.