AVP, Market Risk Product Control

Full Time

International Banking Client

Office Status: Hybrid

The risk professional sought for this position will work actively on key market risk and counterparty credit risk initiatives within the region. The Counterparty and Market Exposures analysis team works in coordination with other risk departments (asset class specialists, market and counterparty risk officers, enterprise risk teams) to ensure the risk management program is of the right standards and evolves in accordance with best practices.

Day-to-Day Responsibilities:

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;
  • 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.
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