usiness Area/Dept Overview
The mission of RISK MFI A&D Market & Liquidity Risk (“MLR”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
Job Purpose
The MLR GBLs teams cover the market and liquidity risk generated by the GM Global Business Lines (GBLs) [Global Credit, Global Equities, Global Macro] as well as GM Liquidity.
This role:
- Manages the team covering APAC Equities GBL, APAC Credit Trading GBL and South-East Asia rates (including FX Options).
- Also manages market risk team in South Asia, including onshore market risk teams in Singapore, Thailand and India.
- Assists the Chief Risk Officer for Singapore and Southeast Asia and India in local regulatory matters related to Global Markets
Main Responsibilities
Business line leadership
- Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate. Understanding the application of processes under the responsibility of other RISK MFI teams to the business line.
Risk anticipation and detection
Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks:
- Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions.
- Escalation to RISK and business management.
Risk control framework
- Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.
Management of specific processes
Business line leadership
Responsible:
- Point of contact for GM on GBL market risk topics.
- Articulation of main risks and risk opinion to management.
- Review of and opinion on information and views provided by GM.
- Understanding valuation, capital, funding, and liquidity impact of business line.
Contribution:
- Provide support as business-line expert to other RISK teams.
- Understand business-line valuation models and methodologies and escalate weaknesses and concerns.
- Understand market risk capital framework and escalate weaknesses and concerns.
- Market risk analysis of structured/complex transactions as part of NAC/TAC.
Risk anticipation and detection
Responsible:
- Understanding the valuation, risk and P&L of business line activities in the context of current, past and potential market conditions.
- Animation of Main Position meetings and other forums with the business line, providing independent risk analysis and opinion, escalation of risk topics, and challenge to the business view.
- Providing accurate and appropriate risk information and opinion to the FMRC and other senior management forums. Escalating risk topics to senior management as needed.
- Performing in-depth, ad hoc analysis, formulating an opinion and escalating as needed, while judging priority, on any and all market risk topics affecting the business line.
Contribution:
- Reporting market risk exposure and measures (e.g. VaR, stress tests).
Risk control framework
Responsible:
- Analysing the business line with the tools available, driving the improvement of these tools, and ensuring that risks for which tooling or data is inadequate are nevertheless adequately understood.
- Setting and ensuring timely review of market risk limits in line with RAF.
- Escalation of limit excesses.
- Definition and application of IPV methodologies and control of non-tradable/exotic market parameters where responsibility not transferred to Platform or V&RC.
- Review and approval of the market risk of transactions outside of Transactions team scope, with reference to ET and MPM frameworks.
- Approval of amendments to trading mandates for French Banking Law/Volcker Rule desks.
Contribution:
- Definition of risk measurement methods such as stress tests (STSC responsibility), regulatory measures (dedicated committees), VaR methodologies (MARCo).
- Work with Platform, Risk Systems and GM to ensure appropriate market risk representation.
- Provide support for regulatory requests and missions: e.g. On-Site Inspections, Quantitative Impact Studies, Bank Reform Committees (e.g. Sub ICC).
- Contribution to collateral eligibility process.
- Support assessment of quality, liquidity and price volatility of securities;
- Recommend valuation methodologies of complex collateral in collaboration with VA and VMR team.
- Contribute to Non-Standard Booking process including Complex Booking approval, review of approximate booking and non-contractual data methodologies (where not covered by Platform).
- Contribute to FBL/Volcker Rule control plans.
- Participate in VaR sign off process.
Collaboration and communication
It is the collective responsibility of the different RISK MFI teams to ensure smooth collaboration between the A&D and Platform, and between the different sub-teams. It is the responsibility of each team to be alert to and act against the formation of silos or other hindrances of smooth and efficient collaboration.
Core accountabilities of role
- Recommend best practices for risk management across the full scope of responsibilities.
- Develop and manage initiatives to optimise the efficacy and efficiency of the team
- Use highly specialised knowledge, expertise and innovation/creativity to perform the most complex market risk assessments.
- Informs and influences market risk decision-making of senior management. Design and ensure the implementation of process and methodology improvements within scope.
- Develops and leads multiple large, high impact, cross-functional projects/programs/initiatives.
- Manages relationships with senior business stakeholders to develop the risk framework.
- Leads and manages within hierarchical team. Provides leadership on topics beyond strict hierarchical scope.
- FBL desk Tier-1 (and below) limit delegation
- ET1 (Exceptional Trade 1) delegation
Knowledge, Skill and Experience
- Education: Graduate/Post-graduate in relevant subject (e.g. Finance, Economics, Sciences)
- Knowledge of capital markets, derivatives (products and markets, trading/risk management, vanillas and exotics).
- Excellent organizational and communication skills
- Excellent analytical abilities
- Proficiency in relevant IT skills and packages (e.g. Excel, VBA, Python/R)
- Collaborative approach to team work.
- Capacity for critical judgement.
- Creative and imaginative problem solving.
- Rigorous attention to detail
- Broad and deep knowledge of industry and regulation.
- Demonstrated people and performance management skills
- Demonstrated leadership and/or management skills
- Large scale and complex project management
- Ability to influence, negotiate and collaborate
- Strategic thinking
