VP - Market Risk - Derivatives/Structuring/Credit

Job Description

- The role is within the Global Credit Products. Main responsibility is to ensure that all risks are captured in the risk systems, understand the economics of the various structures that the desk holds & provide a transparent view of the risk to the management.

- The candidate will have to daily sign-off & validate the risk for the Structured Credit desk under the Global Credit Products; liaising with the trading, product control & market risk reporting teams in the process. This will involve validation checks on sensitivity, VaR, ERC, IRC movements arising from the desk exposure while ensuring complete & correct capture of risk.

- Understanding the valuation of fixed income products & performing risk attribution analysis of the Structured Credit desks.

- Ad-hoc projects & deep dive analysis on specific areas of the desk for the cluster managers & the traders.

The Role is for an experienced risk professional to join the MRM team responsible for Global Credit Products (Corporate Bonds, CDS, Leverage Loan, Structured Credit, etc)

Key aspects of the job include:

- Identifying and monitoring potential illiquid positions and portfolios within the credit business

- Helping to build models to quantify incremental capital requirements for these positions and portfolios beyond that captured via Pillar 1 Capital

- Designing, running and reviewing reports to monitor key risk sensitivities (CS01, CS1%, Vega, Gamma, IDR, etc) for the Global Credit Products business

- Designing, reviewing and signing off on scenario results across various portfolios

- Working with Front Office, IT and other risk groups on large firmwide regulatory initiatives related to the PRA's Firm Data Submission Framework (FDSF)

- Assisting the teams in different locations with the submission of the FDSF results to the PRA. This will include but not be limited to signing off on results, analysing and explaining any major changes