Associate / VP Market Risk Officer – Fixed Income Monitoring

Full Time

Madison-Davis

EXTERNAL CLIENT ROLE

Job Duties:

· Provide support to the traders to understand and manage their positions and risks through various reports and analysis;

· Creation of daily and weekly dashboards in order to better monitor the trading activity;

· Working closely with the trading teams to develop a deep knowledge of their business, clients and strategies;

· Work efficiently with the different teams to answer the business needs and improve the desk processes

· Continuous enhancement of P&L/Risk processes and systems using programming (VBA, Python, javascript, …) for macros and IT teams for the global industrialized tools;

· Act as escalation point to solve complex issues regarding PnL and market risk metrics of the FIC desks;

· Provide expertise on production and certification of Greeks and sensitivities to different risk factors (Delta, Gamma, Vega, Basis, Forex etc.);

· Monitoring and certification of Stress-Tests and Regulatory metrics such as Value-at-Risk;

· Monitoring of risk limit consumptions and follow-up of breaches with Front-Office and Risk management;

· Provide expertise on the Profit & Loss and Income Attribution methodologies and certification process of the trading desks;

· Publish commentary about the different metric highlights to senior management;

· Be fully part of the regulatory projects and their implementation in the bank

· Liaison with other departments and Paris head office to work on transversal and regulatory projects;

· Most important risk topics like FRTB, IBOR transition, will be supervised and analyzed for trading, risk managers, and top management teams.

Required Technical Skills:

· Knowledge of volatility instruments

· Strong analytical and mathematical skills

· Proficiency in Python programming

Required Competencies:

· Provide support to the traders to understand and manage their positions and risks through various reports and analysis;

· Creation of daily and weekly dashboards in order to better monitor the trading activity;

· Working closely with the trading teams to develop a deep knowledge of their business, clients and strategies;

· Work efficiently with the different teams to answer the business needs and improve the desk processes

· Continuous enhancement of P&L/Risk processes and systems using programming (VBA, Python, javascript, …) for macros and IT teams for the global industrialized tools;

· Act as escalation point to solve complex issues regarding PnL and market risk metrics of the FIC desks;

· Provide expertise on production and certification of Greeks and sensitivities to different risk factors (Delta, Gamma, Vega, Basis, Forex etc.);

· Monitoring and certification of Stress-Tests and Regulatory metrics such as Value-at-Risk;

· Monitoring of risk limit consumptions and follow-up of breaches with Front-Office and Risk management;

· Provide expertise on the Profit & Loss and Income Attribution methodologies and certification process of the trading desks;

· Publish commentary about the different metric highlights to senior management;

· Be fully part of the regulatory projects and their implementation in the bank

· Liaison with other departments and Paris head office to work on transversal and regulatory projects;

· Most important risk topics like FRTB, IBOR transition, will be supervised and analyzed for trading, risk managers, and top management teams.

Required Experience:

· Prior work experience in financial services with good knowledge of Fixed Income risk and PnL metrics

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