PERM - RMD - Market Risk Reporting Analyst - VP

Section 1 - Details

Job Title / Corporate Title

Vice President

Department / Group

RMD

Responsible to / Line Manager

This should be a role title, not a named individual.

Line Manager’s Role, Job Title / Corporate Title. 

Head of Market Risk, Pauline Greaves, Executive Director (Nikko)

Direct Reports

This is about scope of the role. Please include job titles and the reporting relationship.

Location

100 Liverpool Street     

Date Prepared

Dec

MiFID Knowledge and Competence

Out of scope

Certification regime

Out of scope

Section 2 – Purpose of Job

• Analyse the daily risk reports and highlight any significant movement or breaches to Head Market Risk and other senior management.
• Keeping abreast of latest news, political events and possible implications to the markets and aligning that to the positions that the desks run.
• Liaising with the trading desks with respect to exposures, new business and market activity.
• Review of models for risk sensitivity measures like IR01, CS01, VaR and liaison with independent model validation for finalising the validation of model.
• New product or business line implementation by setting up of governance framework, risk limits, validate model for risk measures.    
• Developing and implementing new stress testing framework and analyses to enhance, for example, the complex tail risk profiles that the desk can run  
• Set up and review the framework for monitoring the market risk in the collateral portfolio.
• Ad-hoc initiatives and address regulatory requirements as needed.

Section 3 – Background

• The Risk Management Department (RMD) is responsible for managing all aspects of the risk management function within CM Ltd. This role is responsible for strategy, setting up of governance framework, market risk monitoring, Risk Model review and improving the market risk process for the CM Ltd portfolios.  This covers all aspects of market risk responsibilities and leading projects to continually improve and streamline the process and enhancing controls.

Section 4 – Facts / Scale

• Periodic Review of market risk measurement model benchmarking
• Analyse the market risk and position and report
• Liaise with various departments to support the market risk department (Trading, MO, Operations, PC, Treasury, Technology)

Section 5 – Accountabilities & Responsibilities

• Experience in market risk management, as a second line (market risk) ideally in Rates and Credit. Experience of valuation will be required along with great understanding of the market risks arising from trading positions.
• Experience in markets-related roles, with concrete understanding of how various financial and economic events on markets can directly impact risk positioning, especially for more complex product sets.
• Risk analysis and monitoring of trading activity. Keeping abreast of macro-economic news and possible implications to the markets and positions
• Periodically review the appropriateness of existing risk models and measures and make recommendations for improvement where appropriate.
• Assess new business and new transaction proposals to ensure risk is appropriately measured and setting up of risk governance framework.

• Work with senior management, front office, Trade Analysis, Finance and other key stakeholders to design and then develop necessary risk measurement models.

• Participate in design, scope, and coordinate validation of a new market risk process, and help transition to the new process.
• Provide expertise to firm-wide regulatory and capital planning processes (ICARA, ILAA, EWI)
• Perform other regular tasks and ad-hoc quant/non-quant projects including credit simulation analysis, VAR analysis, stress testing, and providing risk analysis for CM Ltd and CM Group governance committees.
• Support with Risk Management expertise firm-wide regulatory and capital planning projects.
• Support and organise team members to bring everyone up to speed.

Section 6 – Knowledge, Skills, Experience & Qualifications

• Strong numerical and financial skills with the ability to interpret financial information
• Professional qualification like CA/ACCA, CFA or MBA
• Model validation experience for securities and pricing models, greeks, VaR, financial markets
• Experience of setting up and review of policy and governance framework for business as usual and new products/business
• Confident to work and respond in a fast-paced environment with traders
• Competency in Excel, ability to work with large amounts of data, Bloomberg
• Experience in designing and implementing the framework for stress testing, I-CAAP.
• Team player, flexible to work in a dynamic environment
• Good communication skills

Section 7 – Challenges (This section is optional)

• The main challenges that this role will encounter is that there are many processes supporting the securities trading, and a good understanding of the flows is required to support any new products.
• A good understanding of the products and market risk factors is required to complement the complex flows in order to scope and determine market risk requirements.

Section 8 – Dual-Hatting

1. Dual-Hat Details (only required if different to the employing entity details)

Dual-Hat Job Title:

Dual-Hat Line Manager: Pauline Greaves

Dual-Hat Direct Reports:

Dual-Hat Certification Regime:

2. Dual-Hat Roles and Responsibilities

You will be required, from time to time, to undertake tasks on behalf of the dual-hat entity, as necessary.

3. Dual-Hat Conflict of Interest

• You will have responsibilities for both SMBCE and Nikko CM
• You will be required to perform your duties and responsibilities on an entity neutral basis, without favour
• You are required to follow regulatory requirements applicable to ensure each business is appropriately supported and to maintain the legal entity integrity of each of SMBCE and Nikko CM
• Working terms are dictated by functional mandates in place between SMBCE and Nikko CM and any other relevant agreements entered into between SMBCE and Nikko CM
• You have responsibility for identifying and resolving where there may be a difference or conflict in needs between SMBCE and Nikko CM, escalating to your manager/Compliance officer where required