Manager - Market Risk - BFS

Role:

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 on-shore team in London, HongKong and NewYork 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 managers and finance functions to resolve any data issues in the daily returns.

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

- 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.

- Preparation of Issuer Risk reports, EAD reports and other Credit Risk reports.

- Perform various UATs with respect to the Risk systems and provide signoff on the functional aspect.

- 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.

- Perform counterparty onboarding, exposure analysis, reconciliations, limit monitoring for counterparty exposures

- Deal promptly with ad hoc questions on risk-related information, investigate any apparent data

Discrepancies and resolve as necessary.

Knowledge, Skills and Experience requirement:

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

- Highly competent in the production of information, and the ability to process and analyse large volumes of data.

- Excellent communication skills

- Excel and VBA skills are a pre-requisite

- Ability to work under pressure and to tight time-lines is essential

- A detailed understanding of the credit risk measures like PD, EAD, LGD, Expected Loss, Unexpected Loss and credit risk concepts like counterparty credit risk, credit derivatives.

- An understanding of market risk measures such as present value of a basis point (PVBP) and VAR, or detailed understanding of the valuation of capital markets and derivative products is desirable.