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    Key Responsibilities

    This role reports directly to the MAM Section Head for Treasury/Linear Products.

    The MAM Department has two key responsibilities:

    1) Production and analysis of the P&L figures

    2) Production and analysis of the Market Risk indicators and monitoring of their associated limits.

    The Role

    Systems: this production is carried out using Front Office systems and dedicated environments. Global View is the dedicated tool used for risk management purpose.

    • Collections, validation and control of market parameters.
    • Daily production, control and analysis of P&L figures and market risk limits utilisation.
    • Daily production of VAR and back testing of the VAR, derived risk indicators (correlation, stress scenarios, etc).
    • Daily report of all elements of P&L and market risk (including limits breaches) to the business line and the risk manager.
    • Daily control of reconciliation of stocks and past cash flows, FX positions between FO system and BO systems.
    • Calculation of provisions, hold back reserves etc.
    • Review of month end P&L reconciliation (accounting P&L Vs MAM P&L) produced by the accounting/financial control department. The MAM department plays an active role in this exercise, as it needs to validate any required adjustment or identified methodology differences (of any pending items).
    • Organisation, preparation of the ‘valuation process committee’ in co-ordination with the business Line Risk manager (meeting called upon request).
    • Participation in specifications, implementation and tests of the used systems.
    • Coordination with the quant team to make sure that the pricers used are validated.
    • PnL attribution/explanation using the Risk indicators and Market Data moves.

    About you 

    • Essential:Qualifications to at least A Level, with mathematical qualification included. Desirable:Further education with emphasis on Markets / Economics an advantage.  

    Soft skills

    • Team player - Adaptability and flexibility
    • An ability to work under pressure and to tight deadlines
    • Strong attention to detail
    • IT tools

    Essential experience:

    • Previous Middle Office / Risk Management experience 

    Desirable experience:

    • Previous use of K+ and / or SUMMIT useful. 
    • Knowledge of the market activities, Treasury / Interest Rate financial products.
    • Good experience/knowledge of Microsoft EXCEL (VB Macros) & ACCESS. 
    • Mathematical profile / ability is required to perform analysis on P&L and risk indicators.
    • Knowledge of our systems (KONDOR+, SUMMIT, even MUREX) an advantage.