AVP - Risk Methodology - Non-Traded & Traded Market Risk

  • AVP investment banking level compensation
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Vennbridge
  • 22 Mar 18 2018-03-22

Economic Capital - Develop and maintain metrics for trading and non-trading (banking book; IRBB) risks - Contribute towards ICAAP


  1. Non-Traded Market Risk Economic Capital measures development.
  2. As above, but for traded risk.
  3. ICAAP formulation.


  • Developing complex processes, framework and risk analysis, and devising improvements.
  • Implementing, enhancing and maintaining Economic Capital (EC) framework to measure market risks across the bank, such as in trading and banking books, focusing on Interest Rate and Foreign Exchange (FX) risks in the banking book.
  • Driving the remediation of regulatory, external and internal findings against the market risk Economic Capital models and in line with assigned tasks.
  • Enhancing the conceptual robustness of market risk Economic Capital implementation, as well as “first line of defence” responsibility for the related model risks and related governance (this includes facilitating the model risk approvals and risks not relevant in typical EC processes).
  • Maintaining constant awareness and understanding of the key market risks taken by the business areas.
  • Communicating with senior management and stakeholders, challenging the business within assigned areas when necessary.
  • Ensuring that all material risks, within assigned areas, are captured, stressed appropriately, and reported to senior management.
  • Overseeing and engaging with the production and analysis of regular market risk reports and presentations.
  • Managing large-scale, partial projects in line with the assigned tasks, both cross-divisionally and on an international scale.
  • Driving development and improvement of key quantitative models to measure and model market risks that are taken by the bank.
  • Cooperating with the asset class teams to develop, implement and document complex quantitative models and process changes, which capture market risk that is not implemented in one of the standard portfolio tools.
  • Representing the EC Team on group-wide internal working groups, committees, projects and forums.

Candidates will have:

  • Experience in Market Risk Management (either traded or non-traded MRM).
  • Knowledge of industry-standard risk metrics (for example: PV01; VaR; EC).
  • Regulatory knowledge of requirements for market risk functions (such as SREP and IRBB).
  • A BSc or BA in a quantitative subject.


Please send your CV to louis@vennbridge.com

Vennbridge is a recruitment firm in relation to this vacancy. Vennbridge recruits for risk management positions globally: www.vennbridge.com