International Banking Client
Office Status: Hybrid
- Becoming primary contact for the Derivatives trading desk.
- Understanding the direction and prioritization of the business for future growth.
- Understanding of the underlying models used within pricing.
- Work with Trading and Quants to ensure risk dynamics and risk representation of both new and existing structures are as expected. E.g. as the desk expands into VIX ensure the exposure can be viewed in both VIX and SPX terms.
- Ensure limit structure is robust to capture any new product and getting agreement from management and the Front Office to enhance gaps.
- Ensure appropriate content within risk reports to display key risks to management. Leverage the junior members of the team to bring to market.
- Develop a suite of pre-trade analytics to provide management with transaction oversight.
- Partner with Finance to ensure understanding of IPV, Back-testing, PnL explain.
- Work with Risk IT to ensure VaR model handling products correctly.
- Work with the junior members to design and build out additional reporting views – e.g. barrier concentration, correlation risk etc.
- Work with the junior members to enhance quality of the reporting commentary to be targeted and precise.
- Attend and present the risk profile within regulatory meetings with the SEC.
- Perform targeted scenario analytics on the portfolio to uncover pockets of risk.