Vice President - Market Risk Analysis & Control - Asset Class Teams

Position Description

- Market and Valuations Risk Management (MVRM) provides an independent view of market risks and valuations to Bank's senior management and manages Bank's Market Risk position in an independent and neutral way.

- The Market Risk Analysis and Control (MRAC) function is responsible for the provision of all official market risk metrics and core analysis in support of risk management decision making, on behalf of the Market and Valuations Risk Management department. The team has a global presence with staff located in London, New York, Berlin, Singapore, Mumbai and Pune.

- The team operates a business/asset class and risk metric aligned organizational matrix supported by central functions. 

Functionally the team is organized as follows:

- Asset Class Teams - own the front to back process for the asset class, infrastructure optimization, market data optimization, MRM management interface. This team is divided by business e.g. Equity, Credit, FX, Rates, Emerging Markets, and Treasury etc.

- Metric Production and Analysis - risk position data validation, calculation and reporting of all official market risk exposures and metrics, provision of analysis and commentary across all relevant risk metrics

- Strategic Production - implementation of Historical Simulation and FRTB calculations, processes, controls and reporting

- Run the Bank (RTB) Change - continuous improvement, business process reengineering, stability and process optimization, test execution management

- Data Quality and Operational Governance - data standards, completeness and accuracy, HV Governance framework, BCBS compliance, governance, documentation (KOP)

- Reporting - strategic reporting and related data requirements, optimization of reporting inventory and production, branding and quality of key reports

- COO - organisational development, audit management, regulatory liaison

Position Specific Responsibilities and Accountabilities :

This role is that of a manager within MRAC Asset Class Team, leading multiple asset class teams.

- Oversight of risk feed validation, mapping and related controls

- Risk Signoff and explain of various risk metric at business & portfolio level 

- Signoff of Critical risk reports across different risk metrics VaR/ SVaR, ERS etc.

- Support to firm-wide projects .e.g. migration of VaR methodology from Monte Carlo Sensitivities based approach to Hist Sim Full Reval

- Work closely with other MRAC functions, MRMs and Finance teams for risk analysis and resolve issues around respective asset classes

- Contribute to governance forums around BCBS239 and data quality

- Ad hoc (- What-if- ) analyses e.g. VaR/EC/ERS impact of new trades

- Test and signoff system enhancement/migration of Front office risk system by providing impact analysis on sensitivities (the Greeks) and risk metrics

- Contribute to methodological enhancements, including quantitative impact analysis

- Involve in Bank-wide regulatory initiatives such as FRTB, RNIVs, Hist Sim Full Reval implementation etc.

- Analysis of back-testing results and explain the outliers to the MRMs

Experience/ Exposure

- Excellent communication skills 

- Ability to articulate technical and financial topics with global stakeholders

- 10+ years of work relevant experience

- Experience working in Trading and Market Risk position in any Investment Bank

- A strong and collaborative personality is essential, as are the ability to present and communicate to Senior Management, the ability to think clearly under pressure, along with influencing and networking skills.

- The ability to work cross-functionally and proactively forge relationships with key contacts front to back is essential.

- Advanced team and people leadership skills, working across geographical time zones 

- A reliable team player with the motivation to work in a dynamic, international and diverse environment.

- A committed and motivated individual for self-development and growth

- Keen interest in various risk frameworks and how they are interconnected for bank's capital experience in using large datasets with experience in relevant software packages, e.g. Python, MS Excel, MS Access, VBA, and SQL.

- Knowledge of coding in Python and SAS tool useful

- Able to multi-task and deliver under tight deadlines

Education/ Qualifications

- Grad/post-grad degree. Qualified in a numerate discipline Engineering/Maths or Statistics

- Strong understanding of financial markets, products, derivative pricing, and methodology