Job Responsibilities:
- Responsible for the maintenance and development of the companies Market Risk Management function, ensuring it aligns closely with the risk framework for both the bank and the securities business.
- Responsible for setting limits and the entire Risk framework (Inc. VaR, Sensitivities, Stress).
- Ability to manage and oversee the Market Risk Management team, from hiring needs through to project delivery.
- Responsible for developing strong relationships with key stakeholders and senior management by addressing and rectifying any concerns effectively
- Daily monitoring, analysis and reporting of the P&L.
- Enhance the internal Risk Management framework, ensuring the companies immediate and future commercial activities are taken into consideration in order to mitigate risk.
- Integrate new risk management policies, procedures and any compliance requests across the business, ensuring all relevant parties and functions are in coordination with the set operations
- Implementing effective Market Risk measure in accordance to compliance, control processes and initiatives e.g. Operational Risk, Internal/external audit and Volcker.
Qualifications:
- A Master's degree in Quantitative Finance, Mathematics, Physics, or other science disciplines
- Minimum of 6 years' experience working in a Market Risk Management role, with particular focus on Rate Derivatives and XVA/CVA.
- Strong knowledge and understanding of Market Risk and XVA, experience working with both Vanilla and Exotic products.
- Experience applying risk metrics (VaR and Stress-testing)
- Proven track record working within the Capital Markets and products.
- Experience working with FRTB/Libor, in particular the decommission of its models/framework
- Minimum 3 years' experience managing teams.
- Previous background covering valuation models, with the ability to apply your knowledge to the business.
