Assistant Vice President - Model Monitoring/Calibration - Counterparty Credit Risk/Market Risk Models

AVP - TR Model Monitoring/Calibration (Counterparty Credit Risk/Market Risk Models)

Responsibilities :

- Wholesale and Market Risk (WMR) is the central point for matters relating to traded credit and market risk within the Group. This includes the design, development and implementation of traded credit and market risk policy and systems, generating reports & analysis on various Credit & Traded Risk metrics that enable the senior leadership & regulators to gauge the risk in a timely & accurate manner in order to take any necessary steps, if required.

- The purpose of the role is to produce consolidated Traded Credit risk, market risk and Value-at-Risk (VaR) information daily for senior Group and Global Banking and Markets executives.

- The successful candidate will work closely with the team in London, to carry out the following activities:

- Preparation and analysis of accurate and timely daily market risk and VaR reports for senior management.

- Analyze and provide commentary on changes to risk exposures on a daily basis.

- Track the daily market risk returns from all trading entities, and liaise with regional market risk anagers and finance functions to resolve any data issues in the daily returns.

- Finalize the daily Group VaR for both internal and external reporting purposes.

- Perform daily VaR back-testing at the Group level for internal and regulatory reporting.

- Prepare monthly reports on Back-testing for the Model Validation Review meetings.

- Tracking the market risk limit excesses submitted by the sites, and the preparation and review of limit excess reports for senior management review.

- Administration of limit amendment procedures, that requires the accurate tracking and timely maintenance of regional and site limit records.

- Monthly production of material limits amendments and excesses for the Business Control Committees.

- Preparation of monthly risk management papers for the Groups RMM and the Global Banking and Markets Risk Management Committee.

- Other analyses will be needed on an ad hoc basis, and familiarity with a variety of sources of information - internal and external - is necessary. For example, analysis of data histories held on internal risk systems or Bloomberg.

- Deal promptly with ad hoc questions on risk-related information, investigate any apparent data discrepancies and resolve as necessary.

Qualification : Qualification in finance, accountancy, business management or previous experience in risk management (Market Risk and Credit Risk) is essential.