Market Risk Manager

The risk management department is responsible for market, model, liquidity, credit, foreign exchange, operational and legal risks associated with the bank's business and manages those risks directly or through each related departments and groups. The department is organized into four functional groups - Credit Risk Group, Market Risk and Analytics Group, Model Risk Group, and the Operational & Regulatory Risk Group.

The Credit Risk Group maintains sound credit management activities liaising where necessary with other departments to review and assess credit risk, monitor credit exposure and provide guidance on credit limits in accordance with policies and procedures. Within Credit Risk Group, counter party credit risk team performs risk measurement/CCR analytics and risk exposure analysis/risk management.

• Lead with risk modelling team to define or enhance PFE methodology for existing or new products
• Lead efforts to establish back testing framework and analysis of the results for any remediation actions
• Monitor CCR analytics for large DoD and MoM moves in PFE
• Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
• Perform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)
• Analyze stress testing results and enhance existing stress testing framework
• Perform XVA analysis and present in committee meetings
• Review top 20 counter party exposures and collateral balances
• Monitor and review CVA limit framework
• Provide month-end commentary for large exposure moves in top 20 exposures, for industry/country exposures, for product exposure analysis across IR, FX and non-derivative transactions
• Provide CCR slides for senior management discussion and committees (GRMC, RMC etc.)
• Perform Wrong Way Risk analysis for counter parties and enhance existing WWR framework
• Oversees production of daily counter party credit exposure reports for accuracy and comprehensiveness.
• Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues
• Undertakes other credit control tasks and projects as required

• Minimum 7+ years of experience in counter party credit risk or market risk or front office modeling or valuation related discipline
• PhD or master’s degree in quantitative field such as finance, mathematics, engineering, physics, computer science, or statistics
• Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
• Understanding of xVA calculations such as CVA, DVA, FVA, KVA, MVA, etc.
• Experience in working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework
• Good working experience in analyzing stress testing results and enhancing stress testing framework
• Solid organizational skills, ability to managing large scale complex projects
• Strong technical skills required - Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
• Skilled at independently researching topics using all means available to discover relevant information
• Ability to work in a team environment
• Strong collaboration skills to work with different stakeholders and builds positive relationships to drive mandates for the team and organization
• Self-starter with ability to multi-task and to maintain momentum
• Be very hands-on to use available data for analysis and very diligent to build consensus with different stakeholders to drive decision making
• Progress towards CFA and/or FRM certification preferred