Market Risk Associate

03 Apr 2020

Global clearing house seeks an Associate level Market risk Manager as part of their expanding Market risk team.

This is a 2 nd line of risk management position, within Group Risk. The role is within the Market Risk team, with close collaboration with Reporting team.

The team remit includes 2nd line management of margin models, back-testing, stress
testing, exposure management, default management and new product approval.

The role will primarily focus on the activities of the UK subsidiary. The role involves significant liaison with key internal/external stakeholder groups.

The product universe covers central clearing of exchange traded futures and options, OTC brokered futures and options, OTC interest rate and foreign exchange derivatives, cash equity/bond related DVP activity and Repo. Asset classes cover equities, interest rates, and foreign exchange.

Responsibilities of the role:
 Margin Models, Pricing Models, Back testing & Performance:
o Set policy requirements and standards;
o Ensure policies, procedures are compliant with regulatory environment;
o Review model performance and ensure 1 st line remains compliant to the Group standards;
o Evaluate model change requests;
o Ensure appropriate independent model validation processes are in place;
o Review outcomes

 Default Funds, Stress Testing and Sizing allocations
o Set policy requirements and standards;
o Ensure policies, procedures are compliant with regulatory environment;
o Ensure sufficient financial resources on an on-going basis including stressed periods;
o Ensure overall stress testing regimes are rigorous, adequate and well documented on an on-going basis.
o Ensure processes across services are harmonious, where differences exist ensure they have been appropriately challenged and justified.

 Exposure Management and Default Management
o Ensure market risk exposures are measured and managed within a coherent limit framework
o Assess member risk across different markets in a comprehensive manner rather then silo approach;
o Assess the aggregation of risks by risk type and product;
o Assess other risks (such as liquidity risk) that may not be captured in the margin models;

 Risk Change - Lead change from Group Risk perspective;
o Ensure objectives are clear, agreed and sufficiently documented;
o Ensure Risk Governance is appropriately maintained;
o Ensure adequate project management processes are in place to avoid delays and unforeseen costs;
o Be aware of and manage upcoming changes from upstream services.
o Organize and facilitate internal changes within group risk.
o Support manager in managing the workload (including team) of all internal and IT changes,

 BAU reporting
o Organise and/or perform daily, weekly, monthly, quarterly reporting for Group Risk

 New Product Approval (NPA)
o Set and review NPA criteria;
o Review market risk aspects of new product requests;
o Ensure requests meet NPA acceptability criteria;
o Invoke model working groups to evaluate quantitative methods;
o Provide guidance to business to ensure only acceptable requests are taken through governance;

 Working experience
* Demonstrated experience within a central clearing organization, broker or investment bank,
incorporating knowledge of the full product life-cycle within a Risk Management environment.
* Extensive exposure to financial securities and markets.
* Strong conceptual / technical knowledge of financial risk management across all asset classes.
 Education
* Degree in quantitative finance, mathematics, economics or science-related disciplines, at least Masters level.

 IT Skills
* Advanced Excel and programming competency, in particular VBA, SQL, Matlab/Python/C++.
* Experience of process automation and enhancement.
 Soft Skills
* Effective communication skills (written and oral).
* Understands the needs and preferences of clients/stakeholders (internal and external).
* Strong team player, who considers the impact of their work on own team and on other
* Highly motivated and able to work independently

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.


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