Summary of day to day responsibilities:
• The Capital Markets Risk Management (CMRM) area is part of the client Bank Corporate Risk Management function.
• Our teams are accountable for the generation and monitoring of an independent view of the Profit and Loss, Market Risk, Counterparty Credit Risk, Collateral and Valuation activities of The Bank’s global trading activities.
• We support wholesale business initiatives, inform an array of risk management decisions and facilitate business through managing evolving front office needs, while ensuring appropriate capture and control of risk.
• Within the Equity P&L, Risk & Valuation team, we are responsible for a number of activities related to the analysis and reporting of market risk, Independent Price Verification, Valuation adjustments, P&L Attribution, and policy implementation.
• The team executes infrastructure changes with regards to the implementation of new or revised risk policies, system migration and model implementations, valuation methodologies and analysis of the key measures used by The Bank to monitor and control market risk.
• We further provide support to key stakeholders, such as the Front Office, Trading Business Management, and Market Risk Control on going market-related queries.
• Support the risk appetite of the bank by generating accurate and complete Independent Price Verification and Valuation Adjustments in accordance with Global IPV and VA policies and associated business line policies, to ensure accurate and complete Fair Value reporting on all Financial Instruments per policy
• Support the risk appetite of the bank by independently identify, measure, analyze and monitor Market Risk and P&L Attribution, while ensuring all analysis is complete and accurate with thorough commentary, while escalating issues in a timely manner
• Ensure risks within portfolios covered are correctly measured, aggregated, and analyzed in accordance with established and approved market risk policies
• Provide analysis, reporting and monitoring of risk exposure and adhere to Trading Risk Standard with regards to violations and escalation of production issues
• Ensure regulatory risks within portfolios covered are correctly measured, aggregated, and analyzed in accordance with established and approved market risk policies
• Provide analysis of P&L/IPV/VA and investigate and resolve all discrepancies/differences in a timely manner
• Maintain a good understanding of the analytical principles underlying the pricing and risk management of financial derivatives, including issues that arise regarding financial modeling of products for P&L/attribution/IPV purposes.
• Liaise closely with the Bank’s front office traders, Trading Business Management, Market Risk Control, Finance, Compliance audit, technology groups, and other stakeholders to assist in meeting the Bank’s objectives
• Execute infrastructure changes with regards to implementation of new or revised policy changes and ensure that changes are executed in accordance with CMRM change control procedures and EUC standards.
• Critically analyze and assess methodologies to ensure compliance with policy and industry best practices while coming up with a plan to close gaps if found.
• Strong communication (written & verbal) and inter-personal skills to facilitate working with colleagues at all levels of the Organization
• Ability to work in a fast-paced environment and manage multiple deadlines and priorities
• Proactive and highly motivated, willing take the initiative, and able to manage unstructured activities.
• An independent thinker, who is able to learn and adapt quickly, while taking initiative to capitalize on opportunities, or minimize problems.
• An enthusiastic, positive and cooperative individual who can work independently and function well in a team environment.
• Strong conceptual skills and attention to detail
• High level of commitment to quality work
• Good understanding of risk management, governance and controls practices.
• Knowledge of derivative products (valuation, model inputs, and mechanism), market risk tools (Greeks, P&L attribution, VaR, and Stress), and risk analytics. Strong quantitative background is an asset.
• Knowledge of secondary trading market for equity and equity derivatives products, trade life cycle, and regulatory requirements towards market making trading desk.
• Proficient MS Excel skills to process and analyze large data set
Nice to have:
• Python or VBA
• Previous banking experience
• Pursuit or completion of CFA/FRM is an asset