Assess business management risk appetites and translate into a risk governance framework for trading desks. Engage with the desks to facilitate business activity in line with management risk appetite.
Responsible for comprehensive analysis of a variety of daily market risk reports pertaining to Global Banking and Markets businesses. Provide complex risk related quantitative and analytical support to covered area, produce analysis and reports that identify to key stakeholders areas where risk positions are approach possible limits. Review certain transactions and determine if transactions are within line of business risk appetite.
Perform ad-hoc analysis in various aspects of risk measurements, stress tests, what-if analysis on the existing portfolios and during new product/transaction approval. Define and perform stress tests to determine the circumstances under which the business portfolio could incur material losses, and analyze positions and create management reports to improve visibility and understanding of risk relating to fixed income trading activities. Work with risk controllers in implementing risk reports and stress testing under various regulatory regimes.
Support internal and external regulatory reviews and audits. Project management and coordination of regulatory and business initiatives. Help drive improvement and implementations of risk systems and infrastructure.
Liaise with internal and external audit / control functions as required. Pro-active involvement with front office and control function risk infrastructure and systems teams. Collaborate with appropriate stakeholders.
Bachelor's degree in mathematics, statistics, finance, economics, engineering or related field plus four (4) years' proven market risk related job experience OR a Master's degree in mathematics, statistics, finance, economics or related field plus two (2) years' proven market risk related job experience. Experience to include: fixed income traded products; Risk assessment, including delta, gamma, vega; investment bank risk infrastructure and market risk limit framework; analyzing market risk and exposure on VaR/SVaR and Risk Not In VaR; performing stress scenario analysis for Traded Risk; and programming in VBA and SQL.