Market & Liquidity Risk Manager
- £70,000 – £100,000 pa
- London, England, United Kingdom London England GB
- Permanent, Full time
- BSM Group
- 15 Mar 18 2018-03-15
Our client, a leading international derivatives broker, is looking to hire a Market & Liquidity Risk Manager to take on the day to day operational responsibility for the Market & Liquidity Risk department.
Overall responsibilities cover:
- Overseeing the daily monitoring, analysis and reporting of company-wide market & liquidity risk
- Able to independently build, model and code numerous VaR models as well as an in-depth understanding of Credit/Market Risk Modelling for COREP reporting
- Responsible for building and coding models to evaluate xVA risks such as CVA, CRR, EML and FX PRR
- Project managed the automation and daily reporting of COREP figures
- All ICAAP stress models covering market, liquidity, credit and operational risks in additional to combined and reverse stress models
- Responsible for liquidity risk modelling, including the production and maintenance of the ILAA document, the design, reporting and review of daily liquidity risk modelling and stress-testing
- Responsible for the Market Risk Committee and Liquidity Risk Committee on a monthly basis to senior management and directors
- Market & Liquidity Risk Policies for ICAAP, and the development of appropriate Policies, procedures and guideline documentation to support the activities and tasks necessary to execute the overall risk framework
- In charge of the Stress Test Working Group (assessing and reviewing stress tests, ILAA and ICAAP scenarios)
- Daily interaction with senior management and directors on risk related and ad-hoc tasks.
- Responsible for managing, training and educational requirements of personnel within the department.