Senior Manager, Market Risk

4 weeks ago

London, United Kingdom ICBC Standard Bank Full time

Summary

The Market and Liquidity Risk department is primarily responsible to identify measure, challenge and report the Market and Liquidity risk exposures taken by the bank to ensure the firm trades within its risk appetite framework.
The department is a second Line of Defence (2LoD) independent control functional under the "Three Lines of Defence" risk governance model. The department reports to the Group CRO of the bank
The department relies on quantitative analysis and risk control assessment to take its decisions, in accordance with market and liquidity risk policy frameworks. Formal risk governance is covered by the Market and Liquidity Risk Committee (MLRC) and the Risk Management Committee (RMC).


Job Purpose

This role is responsible for the market risk control coverage of Traded Metals business within Global Markets. The role will identify, monitor, challenge and report the firm's market risks relating to Metals business across both physical, linear and derivative trading books. The role requires risk control and steer related to the metals product in line with the market risk and physical commodities policies, commodity Inventory risk framework and risk appetite of the bank.
The role requires ensuring the internal risk controls are aligned with risk prudential and exchange regulations pertaining to the UK and associated jurisdictions in which ICBCS conduct its metal business. The role will have key liaise with Credit and Operational risk, and it is expected that the role will closely work with other Risk, Finance and compliance departments to ensure consistent adherence to risk policies relating to trading and banking book products by the business.

The role additionally requires managing timely and accurate aggregated reporting across daily, weekly, fortnightly, monthly and quarterly frequencies for physical and non-physical metals trading. Role coverage includes analysis of new products, where applicable, and escalation of all key risk issues to senior management stakeholders and contributions to the Market and liquidity and Physical Commodity Committees. This job description will be subject to ad-hoc reviews and change from time to time.

Key Responsibilities

Daily analysis on traded position and Inventory, risk, VaR/ SVaR, stress scenario exposures vs respective controls and ensure response action in accordance with relevant Market Risk and physical commodities risk policies.
Attest to the daily integrity of the VaR/SVaR, by investigating underlying causes/changes to the positions and risk in addition to performing key relevant back testing controls. Explain alignment to market risk driver's vs the market risk appetite (ECaP,EaR).
Identify Risks not in VaR (RNiV) and escalating such risks to Risk Methodologies & Analytics
Risk factor time series maintenance on the metals Asset Class to ensure integrity on VaR and stress formats and other associated analysis involving historical simulation.
Validate and where necessary propose design input to metals risk factor parameters on pillar stresses and point of weakness stresses.
Implement, develop, monitor and review appropriate market risk controls and reporting for applicable physical & trading derivative metals portfolios.
Highlight key risk factors and concentrations and their potential impact on the P&L using risk simulation tools. Use this assessment to explain and validate both Hypothetical and Actual PnL for back testing.
Ensure compliance to the all applicable market and Physical commodity risk regulatory and exchange standards, firm's risk appetite, internal supporting risk frameworks.
Undertake all regulatory risk deliveries, applicable to the role, in accurate and a timely manner.
Establish strong working relations across Risk Peer departments, Treasury and Capital Management, Finance and Audit functions.
Preparation and challenge responsibility for new product and process risk assessments to ensure ongoing compliance with market risk policies, methodologies and limits under appropriate governance committees.
Monitor the markets to pro-actively identify key developments that may impact the market risk profile of the metal business.
Perform in accordance with outlined objectives discussed and established by Head of Market and Liquidity Risk manager that satisfy the PMS objectives.

Preferred Qualifications and experience

Strong experience working in Base Metals discipline of a Buy or Sell side trading institution. across GLOBAL or either Europe, America's, or Asia Pacific jurisdictions.
Proven current market risk or product control experience in Base Metals at Senior Manager level.
Technical base metal risk understanding in derivative and Physical Metals products
-UK, US and Asia Metals exchange futures
-OTC linear and non-linear products
-Financing and intermediation of Physical Base Metal product
-Funding behavior and risk associated with the above 3 points
Must be strong communicator to identify and challenge on all evolving market risks at senior Trading, Risk and Front Office.
Strong knowledge and implementation of all regulatory and exchange aspects of market and Physical commodities risk management.
Agility to cover line risk across all precious and base metal products (RTB) but also be point person for developments to risk programs or frameworks which have CTB or regulatory consequences.
Minimum - Degree or equivalent in a Quantitative/Science or accounting.

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