Within Market Risks North Asia, the Senior analyst will focus primarily on exotics and structured products activities across GBLs, which are currently predominantly Equity and Credit driven, and become an expert covering all aspect of market risk management such as market risk analysis and anticipation, new transactions and new activities analysis, and risk management and valuation models reviews.
The candidate will closely work with the rest of team in HK monitoring flow / linear activities and running the BAU, to ensure high quality and consistent analysis are delivered across the platform, and actively contribute to the training of junior staffs and more generally the sharing of information and knowledge across the team.
The candidate will be in direct contact with FO trading, actively leading market risk meetings and managing the relationship with Trading on a day to day basis.
The candidate will also naturally work with a variety of team within RISK and outside of RISK such as TRS, S&R, V&RC, Finance, MO.
Finally, as a senior analyst, the role will entail coordinating some structuring project for RISK GM across the region on an ad-
hoc basis Responsibilities
Market risk limits :
oQuantification of market risk limits, including regulatory, issuer and intraday limits, in line with the stated risk appetite.
Detection, anticipation, analysis, monitoring and recommendation on all markets, valuation and issuer risks (including risk wide measures such as VAR, stress tests and capital) of the Global Business Lines, on both their trading and banking books :
oIdentify hidden risks and potential threats early, and perform in depth reviews with a view to recommend actions to mitigate them
oEscalate to Management and Business Heads when relevant;
Review and approval, from a market risk point of view, of those transactions which are outside the scope of TSF and PS&F.
Ensure proper representation of complex transactions requiring non-standard booking.
Valuation and IPV Process :
oDefinition of all marking methodologies
oMonthly review of certain, illiquid, exotic and / or unobservable market parameters;
Definition, calculation and regular review of Fair Value and Prudent Value Adjustments reserve methodologies
VaR back testing & P&L explain :
oTake all reasonable action to ensure requests from Calibration & Back-testing Team for comments on P&L and VaR related to VaR excesses is dealt with diligently (please refer to the P&L and back testing policy)
Maintain strong knowledge of the valuation and VaR models, and their impact on both capital, valuation and market risk sensitivities of the GBL’s portfolios.
Ensure VaR figures and their variations are commensurate with the portfolio composition and can be explained.
Implementation, in cooperation with Market Risk Transversal team, of the control plan on new banking regulations (ie French Banking Law / Volcker Rule).
Analysis of market risk, as well as contribution to portfolio risk profile, of structured
complex transactions in the scope of TSF / PS&F by providing comments on booking, valuation (including reserve and risks), market liquidity and limits during the TAC / NAC process.
Appropriate representation of market risk exposures in the official risk systems of the Group
with Risk Systems).
Reporting : market risk exposure as well as associated measures (VaR, stress tests, capital
measures,..) of the relevant GBL’s (MCLAR responsibility).
Definition of risk measurement methods : stress tests (committee responsibility), regulatory measures, VaR methodologies.
Approval of amendments to trading mandates (for French Banking Law / Volcker Rule desks)
Provide support to other RISK Function teams when GBLs’ Market Risk expertise is required.
Technical & Behavioral Competencies
5Y+ experience in Market Risks or similar : the candidate should have a solid quantitative background with ideally a previous experience in a quantitative environment through a technical role (e.
g. through market risk, counterparty risk).
Excellent knowledge of derivatives, structured products, ideally across multiple asset classes.
Ability to react quickly but precisely in high pressure trading situations with Front Office interactions.
Strong interpersonal and communication skills (written and verbal) to further build the business / risk relationship and to clearly and concisely report the risk in a jargon-free way.
Ability to work in a team and interact with multiple stakeholders of different technical backgrounds
The candidate should be able to efficiently prioritise work and show resourcefulness in order to meet deadlines, whilst having the ability to react to changing priorities as markets move.