Head of Market Risk Job Reference: CSB-10058/GB Job Location: London (City) GB Overview: (Core accountabilities; aims of position; specific responsibilities) The Head of Market Risk will have responsibility for overseeing the operation of the Market Risk management framework, including exposure measurement and limit monitoring.
Responsibilities: (Day-to-day duties; job process; "typical day")
- Maintain an effective risk management framework in which Market risk is effectively identified, quantified monitored and communicated.
- Maintain a robust framework that focuses on proactive identification and accurate quantification of market risk
- Communicate to management the nature and magnitude of market risk embedded within BBI activities under both normal and abnormal market conditions
- Promote risk management practices which allow for management flexibility within a prudent control framework
- Market Risk control and reporting functions.
- Market Risk policy formulation and maintenance.
- Quantitative analytic operations.
- Reporting market positions to relevant senior executives. Market Risk Control & Reporting
- To monitor Market Risk in accordance with the Market Risk limit framework.
- To control the assignment / transfer of positions between the Banking Book and the Trading Book.
- To review the bank's trading strategy on a quarterly basis.
- To communicate to management, the nature and magnitude of Market Risk within BBI's activities.
- To ensure that all material Market Risks have been identified and are captured within the risk measurement framework
. * To perform "back-testing" of the VaR model to assess its ongoing accuracy and appropriateness. This involves testing via simulation on relevant past data in order to gauge its effectiveness.
- To perform "stress testing" via Monte Carlo simulation to determine reaction to different financial (particularly crisis) situations.
- To identify market-related and product-related issues that impact on the risk management framework (e.g. limits, revaluations, etc).
- To perform a co-ordination role in the New Product Approval Process.
- To maintain a register of limits, approved products and trading books.
- To maintain accuracy and integrity of the Market Risk information structure. Market Risk Policy and Maintenance
- To maintain a set of comprehensive risk policies which provide for the effective quantification, management and communication of all material Market Risk.
- To support risk management framework development.
- To assess the on-going appropriateness of the policy framework.
- To assess the compliance with Market Risk policies. Quantitative Analytics Operations
- To maintain a rigorous risk measurement framework.
- To determine stress test approaches.
- To perform model validation and certification of all models used for risk quantification purposes.
- To assess the on-going appropriateness of valuation and risk quantification approaches.
- To provide quantitative Market Risk support and analysis to senior management. Produce a various exposure reports
- BBI exposure report
- Maintain FX P&L and FX rate records
- Standard limite
- Bond portfolio
- Daily deposit
- Liquidity statistical analyses
- Quarterly exposure reports
Personal requirements
- 8+ years experience
- Banking/Financial background
- Strong problem solving skills
- Motivated approach
- Strong numerical skills
- Excellent communication skills
Trading as Aston Carter. Allegis Group Limited, Maxis 2, Western Road, Bracknell, RG12 1RT, United Kingdom. No. 2876353. Aston Carter is a company within the Allegis Group network of companies (collectively referred to as "Allegis Group"). Aerotek, Aston Carter, EASi, Talentis Solutions, TEKsystems, Stamford Consultants and The Stamford Group are Allegis Group brands. If you apply, your personal data will be processed as described in the Allegis Group Online Privacy Notice available at https://www.allegisgroup.com/en-gb/privacy-notices.
To access our Online Privacy Notice, which explains what information we may collect, use, share, and store about you, and describes your rights and choices about this, please go to https://www.allegisgroup.com/en-gb/privacy-notices.
We are part of a global network of companies and as a result, the personal data you provide will be shared within Allegis Group and transferred and processed outside the UK, Switzerland and European Economic Area subject to the protections described in the Allegis Group Online Privacy Notice. We store personal data in the UK, EEA, Switzerland and the USA. If you would like to exercise your privacy rights, please visit the "Contacting Us" section of our Online Privacy Notice at https://www.allegisgroup.com/en-gb/privacy-notices for details on how to contact us. To protect your privacy and security, we may take steps to verify your identity, such as a password and user ID if there is an account associated with your request, or identifying information such as your address or date of birth, before proceeding with your request. If you are resident in the UK, EEA or Switzerland, we will process any access request you make in accordance with our commitments under the UK Data Protection Act, EU-U.S. Privacy Shield or the Swiss-U.S. Privacy Shield.
