Market Risk Analyst
- London, England, United Kingdom
- Permanent, Full time
- Natixis UK
- 15 Oct 18
Natixis UK is looking for a(n) Market Risk Analyst
Natixis is the international corporate, investment, insurance and financial services arm of Groupe BPCE, the 2nd-largest banking group in France with 35 million clients spread over two retail banking networks, Banque Populaire and Caisse d'Epargne. With more than 16,000 employees, Natixis has a number of areas of expertise that are organized into three main business lines: Corporate & Investment Banking, Investment Solutions & Insurance, and Specialized Financial Services. A global player, Natixis has its own client base of companies, financial institutions and institutional investors as well as the client base of individuals, professionals and small and medium-size businesses of Groupe BPCE's banking networks.
Reporting to the Head of UK Market Risks, the Risk Analyst is responsible for the understanding and reporting of all risk metrics for Equity, Credit, Rates and hybrid activities, in conformity with regulations and internal risk processes and policies, as well as the group's operational standards and requirements. In doing so, the Market Risk Analyst ensures the daily validation, control and analysis of all risk indicators defined in the Risk Mandate.
Daily Market Risk Reporting process on Equity, Credit, Rates and hybrid activities (shared with a Market Risk analyst)
* Calculates VAR (daily)
o Performs analysis of significant moves in VAR.
o VAR back testing data and analysis.
o Ensure VAR captured in systems.
* Produces the daily risk reports according to the official risk mandates (based on MRM systems).
o Identifies unauthorised underlyings/trades by risk mandate
o Maintains a database of limit excesses.
o Maintains a record of key risk indicators relating to the delivery of information used in risk reporting process.
o Publishes the risk report for each risk mandate and a summary of all limit excesses to the appropriate level.
o Publishes summary risk reports as required by business and MRM.
* Calculate stress tests
o Performs analysis of significant moves in stress results.
* Close understanding of P&L drivers and greeks attribution
* Set up and maintenance of all indicators and limits in the risk tools
* Update and implementation of tools in order to improve monitoring and reporting processes
* Providing ad hoc analysis and risk reporting as required by the Risk Managers
Policies and processes
• Ongoing responsibilities for formulation, enhancements and compliance to internal and external policies and processes;
• Ensures that requests and requirements from internal/external audits and regulatory bodies are met in a timely manner;
Committees and governance
• Represents UK Risk Management on an on-going or ad-hoc basis in relevant Committees, either related to day to day activities and decision making processes or to project planning;
• Active participation in the day to day course of the FRTB program
• Accompany the Risk Management transformation through the new FRTB framework, including works around risk factors and IMA / SA analysis
• Specific missions/tasks as defined by the head of UK market risks.
Internal stakeholders DR:
• Market Risk: Risk Management in Head Office, US and Asian platforms, risk engineering and analysis
• Credit Risk and Operational Risks department
Contacts outside DR:
• Trading Teams
• Other Department (SDR, legal, taxes, Prudential ratio,Orga, business management)
• BSc / BEng / MSc / MEng or equivalent required
• At least 1 year of relevant experience in a similar position
• Proficient in English (written and verbal)
• Good level in Mathematics and very good knowledge of programming languages (for example VBA and SQL) and standard office tools (Excel..)
• Very good knowledge of derivatives / exotics products
• Oral and written communication with the front office, master of work, and other inspection services. Sense of dialogue.
• Reactivity, Dynamic, Pro-active.
• Develop the role to be centre of analysis for Credit, Equity and Hybrid activities.
• Rigorous approach, organizational skills, good writing skills