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.

The Market Risk team is responsible for both market risk and counterparty credit risk management within the trading book. The team is part of the second-line of defence function, providing oversight, governance, controls and reporting on the business' risk taking activities, ensuring an effective day-to-day operation of the market risk (including XVA) and counterparty credit risk frameworks. The team includes the model validation unit for all market risk models.

The team is small and flat in structure, with the everyone delivering on work outputs and building their own Python-based analytic tools and reporting outputs.

Description of role and key responsibilities:

 The role includes both the oversight and upskilling of the Mumbai-based market risk team, as well as the day-to-day provision of technical market risk oversight and ad hoc risk-related, technical deliveries (or overseeing the delivery of the team's technical outputs).

Team oversight:

• Oversee the current team's delivery on their BAU risk oversight responsibilities
• Train the current team (where required) on core market risk principles and tasks
• Grow the team as required to support the business

The team's responsibilities include:

• Identifying, quantifying, monitoring and reporting on all risks for their assigned Desk on a daily basis. This includes investigating, assessing and reporting on the changing risks, and ensuring they are well understood by management. For the XVA Desk, this would include monitoring and explaining changes in XVA reserves and XVA sensitivities. This also includes providing value-add analysis of top risks. The reports include details of any limit breaches for escalation.
• Analysing risk across the whole trading book
• The team is also required to prepare comprehensive risk reports for both internal and external reporting (including the PRA Market Risk and CVA Capital reporting) on periodic basis

Ad hoc risk-related technical work includes the following:

• Perform model validation work (where / if required)
• Oversee and contribute towards the design and development of accurate Python-based analytic tools that will generate meaningful risk insights or efficiency gains. Recent examples include the creation of a stress testing Python toolkit that defines, generates and extracts automated stress scenario results from the risk engine.
• Understand and analyze the impact of new regulations on the trading business, as well as provide technical guidance on and validate the implementation of new regulatory rules. Investigate and explain changes in the applicable regulatory capital (market risk, CCR and CVA). Build any required Python-based tools to support this activity.
• Oversee and contribute towards the design and development of improved Python-based risk reports
• Propose and develop enhanced market risk methodologies.
• Challenge the appropriateness and usage of models. Monitor and evaluate model assumptions to assess appropriateness.

 Core skills and knowledge

Pre-requisite technical knowledge

• An understanding of market risk management principles and practices
• Detailed, technical financial product knowledge across asset classes (including pricing models and risk methodologies).
• Knowledge of risk and pricing methodologies in general
• Strong understanding of numerical techniques employed within financial models, for example Monte Carlo, finite difference, lattice methods, etc.
• Strong ability to code in Python
• A strong understanding of the 3LoD model, and the necessary segregation of duties that are required

Additional technical knowledge that would be beneficial but is not a pre-requisite:

• A technical understanding of XVA would be an advantage
• Knowledge of the broader bank regulatory landscape is an advantage

Educational Background:

• A Master's degree in a numerical or computer science discipline (including applied maths, engineering or pure maths)
• The FRM qualification is an advantage

 Core skills and personal attributes

• Analytical and numerate.
• Diligent, with strong attention to detail
• A pro-active self-starter
• A hands-on, pragmatic approach towards work delivery.
• An ability to self-manage and to manage the team.
• An ability to think independently and challenge the status quo in order to improve controls and identify efficiencies
• Excellent communication (both written and verbal) skills. An ability to present complex issues clearly.
• Draft documentation to a high standard, including policy documents

Other behavioural attributes

 The following are additional critical, non-technical, attributes required for the role:

• Have a process improvement outlook
• A natural thirst for self-development and the development of your team
• An ability to collaborate effectively
• Able to deal with ambiguity
• Demonstrate an energetic, creative and resilient outlook

Embedded in our culture is a sense of belonging and inclusion. This creates an environment in which everyone is free to be themselves which helps to drive innovation, creativity and ultimately business performance. At Investec we want everyone to find it easy to be themselves, and to feel they belong. It's a responsibility we all share and is integral to our purpose and values as an organisation.

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!

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