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.