Derivative Security Financing Market Risk Manager -VP

06 Sep 2019

Global investment bank seeks a VP level Market risk Manager to cover its Derivative and security financing transaction business.

Derivative and security financing transaction market risk manager for cross asset portfolio provides independent risk oversight of the bank's portfolio, including repo, security lending, margin loans, other fixed income security , structured transactions within the bank.

By being exposed to the wide-range of security based or structured derivative financing transactions and industry landscape , the role will enable the successful candidate to get a deeper understanding of the markets in which these products operate while at the same time gaining direct exposure to traders, research, Finance and Technology in addition to many other areas of Risk Management

Key Responsibilities:

Work with product risk managers and trading desks to ensure that all relevant market risk factors are properly identified and formally captured in official risk systems

Develop market liquidation framework, produce and analyze market liquidation metrics for trading book . Oversee market liquidation monitoring processes and present to liquidity working group of general market liquidity condition, transaction and collateral level liquidity metrics

Working with convergence risk, financial resource management and external vendor on framework and technology solution for enhancement of historical trending liquidity metrics. Use history time series and develop liquidity models for collaterals and further trading book

Develop and maintain an appropriate independent risk appetite and limit framework with applicable limits and triggers, and independently monitor business compliance with the firm's market risk-related policies. Oversee risk exposure measurement and limit monitoring processes to ensure integrity and appropriate independence of reporting *

Assist in developing stress test, gap risk and risk capital quantitative, risk capital and stress test group, define principles for gap risk framework for correlated recourse transactions and non-recourse transactions * Prepare presentation and management information deck, communicate key market, product, and risk intelligence to seniors and management

* Lead three pillars of risk framework, comprehensive reporting utilizing PPL for market risk and market liquidation risk, risk approval framework and portfolio metrics monitoring and analysis, and impact of risk capital and regulatory capital * Working with product risk manager, credit risk and convergence risk in trade approval focusing in analyzing market liquidation risk

Candidate should be a self-starter, analytical inclined, proficient and extremely comfortable in VBA, Excel and other related systems, be able to generate analysis in using system independently and with help of risk reporting team, be able to solve complex problem in a consistent as well as pragmatic way.

Be able to assess real time risk associated complex transactions. Qualifications Knowledge, skills and experience required: * Natural curiosity, intellectual capacity * Good communicator, proficiency in PPT * Quantitative inclined * Good in excel/VB, technical confident * Attention to detail and strong analytical skills * Sound computing skills essential, prior programming and/or database management experience a plus

Ability to transform complex topic into impactful stories using presentation * Advanced interpersonal and communication skills given the need for frequent interaction with senior management across both business and control functions * An master degree in a quantitative or financial discipline. * Readiness to use initiative with limited supervision * Ability to work well in groups and flexibility in addressing a number of projects simultaneously * Willingness to resolve conflicts and work well under pressure * Ability to evaluate both strategic and tactical issues related to the business. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 |