Job description

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  • Location:
    London - 30 Gresham Street
  • Department:
    Risk & Governance
  • Division:
    IBP Risk & Compliance
  • Employment Type:
    Full time
  • Salary:
    Competitive

Market Risk Manager (5173)

Investec is a distinctive Specialist Bank serving clients principally in the UK and South Africa. Our culture gives us our edge: we work hard to find colleagues who'll think out of the ordinary and we put them in environments where they'll flourish. We combine a flat structure with a focus on internal mobility. If you can bring an entrepreneurial spirit and a desire to learn and collaborate to your work, this could be the boost your career deserves.

Research shows that some candidates can be reluctant to apply to a role unless they meet all the criteria. We pride ourselves on our entrepreneurial spirit here and welcome you to do the same – if the role excites you, please don't let our person specification hold you back. Get in touch!

What will my role entail and what will my key responsibilities be?

As part of your BAU responsibilities, you will be expected to:
• Act as the 2LoD to proactively identify, quantify and monitor all market risks for your assigned Trading Desks. This includes investigating and assessing any market risk arising in the Desk, and ensuring it is well understood by management. Ensure that you use the most appropriate risk methodologies and techniques to do so.
• Develop and provide accurate and meaningful risk reports that can be quickly generated with minimal manual intervention, using Chi, Python and/or VBA, as is most appropriate for the specific requirements. These reports must be distributed to dealers and senior management on a daily basis and in a timely manner. The reports should include value-add analysis that provides senior management with clear understanding of the top risks.
• Research and develop risk metrics and quantitative Python- or VBA-based tools that assist you in providing accurate and meaningful risk insights.
• Understand the trading environment in which your assigned Desk operates, including their trading and hedging strategies, their products, and the underlying market dynamics (including liquidity). This will require regular, constructive engagement with your traders, to glean additional risk insights and a better understanding of current market dynamics.
• Where required, you may be required to analyse market and counterparty risk across the whole Trading Book portfolio, and therefore should ensure you maintain a broad understanding of the different Desks and their respective markets.
• Assist and provide cover for other individuals within team, for example testing system changes, risk reporting and counterparty credit risk analysis.
• Recommend and motivate market risk limits for your assigned Desks within the approved Market Risk Appetite.
• Investigate and explain changes in the Trading Book Regulatory Capital.
• Monitor and explain changes in derivatives margins.
• Monitor and explain changes in XVA reserves and sensitivities.
• Prepare market risk reports for Review ERRF on a weekly basis.
• Prepare quarterly reports for the Board Risk and Capital Committee and the Board.
• Where needed, specify and test any Chi changes.

As part of your broader control framework and project-related responsibilities, you will be expected to:
• Help the team remain aligned to the latest risk management developments within the industry, and relevant regulation.
• Understand, update, review and apply the various policies and guidelines that govern the Market Risk department.
• Develop and enhance market risk models and methodologies including VaR, SVaR, expected shortfall and RNIV methodologies. Monitor and evaluate model assumptions to assess appropriateness.
• Challenge the appropriateness and usage of pricing models where necessary.
• Design and periodically review the Market Risk Stress Testing Framework for all Trading Desks.
• Where needed, understand and analyse the impact of new regulation on the trading businesses, as well as provide technical guidance on and validate the implementation of new regulatory rules.
• Work with other teams to remediate and improve existing processes across other control functions, as required.
• Work with other teams to improve and build out control frameworks, as required.
• Draft documentation to a high standard, including policy documents and requirements specifications.
• Where project requirements relate to regulatory implementations, your work will include reviewing the regulatory specifications and possibly providing interpretations.
• Where the work has necessitated some IT development, the work will include comprehensive testing of the final implementation, as well as documentation of testing results.

What core skills and knowledge do I need?

Technical knowledge
• A thorough understanding of market and / or counterparty credit risk management principles and practices.
• Detailed, technical financial product knowledge across asset classes (including appropriate pricing models and risk methodologies) and a good understanding of the associated trade lifecycle process.
• Knowledge of market risk methodologies in general (Value at Risk, Stress Testing, Scenario Analysis)
• Good knowledge of numerical techniques employed within financial models, including Monte Carlo, Finite Differences, lattice methods, etc.
• Ability to code in Python and  VBA- Essential 
• Knowledge of the broader regulatory landscape (both current and upcoming), particularly relating to risk models.
• A strong understanding of the 3LoD model, and the necessary segregation of duties that are required.
• Knowledge of non-market related risks such as credit, liquidity and operational risk, as well as how these might interact with market risk.

Core skills
• An ability to work across a range of tasks simultaneously, and to collaborate across functions effectively.
• A strong ability to think independently and challenge the status quo in order to improve controls and identify efficiencies.
• Analytical skills – Quantitative, problem solving
• Detail oriented and ability to comprehend research and test results
• Excellent written and oral communication skills are needed to present complex issues clearly
• A hands-on, pragmatic approach towards change delivery.
• An ability to think holistically as a Risk Manager across the disciplines of Credit and Market Risk.

Investec specific knowledge and how it is applied
• Knowledge of Investec policies & procedures that apply to market risk management
• Knowledge of the systems used within Investec to carry out the market risk management process

Are there any  behavioural attributes that are essential for this role?

The following are additional critical, non-technical, attributes required for the role:
• Have a process improvement outlook and demonstrate thought leadership
• Promoting a high performing culture.
• Demonstrate an energetic, passionate, creative and resilient outlook.
• Be an active team member, helping to champion market risk within the Bank's policy and framework.
• A natural thirst for self-development and development of your team members.
• Challenge the conventional norm.
• Invite and provide regular feedback to/from team and stakeholders.
• Provide high quality customer service. This would include resolving client queries in a timely and professional manner.
• Be proactive, self-motivated.
• Diligent, with strong attention to detail.
• Act with integrity at all times and embrace the philosophy of doing the right thing and treating our customers fairly.
• Care for people and culture.

 

 


 
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Location
London - 30 Gresham Street
30 Gresham Street, London, England, GB, EC2V 7QN
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Meet the recruiter

Charmaine Bannerman

https://www.linkedin.com/in/charmaine-bannerman-b405482b/

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Benefits

Pension
Private Medical Cover
Virtual GP
Gym Discounts
Psychologist Service
Annual Leave
Life Assurance