up to £60,000 per annum
London, United Kingdom
Based in West London, our client is a small yet well-established global business that thrives on providing an excellent service for both customers and employees. They are growing rapidly and are now looking for a committed professional who is at the Senior Manager level within the Market Risk space who has the ambition and drive to become Head of Market Risk to join their team.
- Maintain an effective risk management framework in which Market risk is effectively identified, quantified monitored and communicated.
- Maintain a robust framework that focuses on proactive identification and accurate quantification of market risk
- Communicate to management the nature and magnitude of market risk embedded within BBI activities under both normal and abnormal market conditions
- Promote risk management practices which allow for management flexibility within a prudent control framework
- Market Risk control and reporting functions.
- Market Risk policy formulation and maintenance.
- Quantitative analytics operations.
- Reporting market positions to relevant senior executives.
Market Risk Control & Reporting
- To monitor Market Risk in accordance with the Market Risk limit framework.
- To control the assignment / transfer of positions between the Banking Book and the Trading Book.
- To review the bank’s trading strategy on a quarterly basis.
- To communicate to management, the nature and magnitude of Market Risk within BBI’s activities.
- To ensure that all material Market Risks have been identified and are captured within the risk measurement framework.
- To perform “back-testing” of the VaR model to assess its ongoing accuracy and appropriateness. This involves testing via simulation on relevant past data in order to gauge its effectiveness.
- To perform “stress testing” via Monte Carlo simulation to determine reaction to different financial (particularly crisis) situations.
- To identify market-related and product-related issues that impact on the risk management framework (e.g. limits, revaluations, etc).
- To perform a co-ordination role in the New Product Approval Process.
- To maintain a register of limits, approved products and trading books.
- To maintain accuracy and integrity of the Market Risk information structure.
Market Risk Policy and Maintenance
- To maintain a set of comprehensive risk policies which provide for the effective quantification, management and communication of all material Market Risk.
- To support risk management framework development.
- To assess the on-going appropriateness of the policy framework.
- To assess the compliance with Market Risk policies.
Quantitative Analytics Operations
- To maintain a rigorous risk measurement framework.
- To determine stress test approaches.
- To perform model validation and certification of all models used for risk quantification purposes.
- To assess the on-going appropriateness of valuation and risk quantification approaches.
- To provide quantitative Market Risk support and analysis to senior management.
Produce various exposure reports
- BBI exposure report
- Maintain FX P&L and FX rate records
- Standard limited
- Bond portfolio
- Daily deposit
- Liquidity statistical analyses
- Quarterly exposure reports
- Credit report for fixed income investment