Market Risk Manager, Commodities

  • Market Rate
  • London, England, United Kingdom
  • Permanent, Full time
  • ICBC Standard Bank Plc
  • 11 Jan 18 2018-01-11

Analyse market risk exposures within the Commodity Trading business area. Perform daily analysis on the evolution of the VaR and the key risk metrics. Responsible for the accuracy of the VaR numbers, investigating the underlying cause of VaR changes as well as the maintaining the integrity of the back-testing. Implement and develop an appropriate risk reporting process for the Commodity Trading portfolios. Highlight the key risk factors and concentrations and their potential impact on the P&L using simulation tools. Must have Quantitative Education. (MA level or equivalent in a quantitative field) and Commodities Market Risk experience.

ICBC Standard Bank Plc (ICBCS) is 60% owned by Industrial and Commercial Bank of China and 40% by Standard Bank. ICBCS benefits from a unique Chinese and African parentage and an unrivalled global network and level of expertise.


ICBCS is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and the markets in which we operate. We deliver products in an environment which considers the appropriate needs of our clients, whilst providing guidance and expertise to ensure our employees understand our business and uphold the highest levels of conduct. We want passionate and talented individuals who are motivated by high growth potential being achieved in doing business the right way.
Headquartered in London, ICBCS also has operations in Dubai, Hong Kong, Shanghai, Singapore, and New York.


https://www.icbcstandardbank.com/

Division Summary
The Market Risk department role is to identify, measure and manage the Market Risk exposures taken by the bank, and ensure it stays within its risk appetite. The Market Risk department reports directly to the CRO of the bank, and is functionally independent.
The Market Risk department relies on quantitative analysis and expert judgment to take its decisions, which are governed by the Market Risk policy, the Market and Liquidity Risk Committee and the Risk Management Committee.

Job Purpose
This candidate is responsible for the Market Risk management of the Commodity desks. In practice, the candidate will manage the market risk framework of the Commodities business area of the bank, ensuring that the market risks can be appropriately identified, measured, monitored and reported in line with the Market Risk policies and Risk Appetite of the bank.
The candidate will ensure compliance of the commodities area with market risk regulations that pertain to the UK jurisdiction. 

The candidate will also liaise and coordinate with Regional Heads in Asia and New York to ensure consistency of Market Risk policies relating to all commodity products; ensuring clean aggregated reporting to senior management.

The candidate will be responsible for analyzing and reporting the market risks on the aforementioned asset classes, as well as analyzing the new products with respect to these asset classes.

Key Responsibilities

Market Risk Analysis
• Analyse market risk exposures within the Commodity Trading business area. Perform daily analysis on the evolution of the VaR and the key risk metrics.
• Responsible for the accuracy of the VaR numbers, investigating the underlying cause of VaR changes as well as the maintaining the integrity of the back-testing.
• Implement and develop an appropriate risk reporting process for the Commodity Trading portfolios. Highlight the key risk factors and concentrations and their potential impact on the P&L using simulation tools.
• Monitor the markets to pro-actively identify key developments that may impact the market risk profile of the commodities area.

Key Interfaces
• Establish a strong working relationship with the Front Office team to gain a thorough understanding of their positions and trading strategies. Maintain open communications. Take a leading role at the fortnightly meeting with desk heads.
• Establish a strong working relationship with Risk Analytics and the Model Validation team with respect to risk methodologies.
• Ensure a clear and unequivocal communication of the limits and desk mandates to the desks. Always provide written evidence on agreed limit changes whether they are temporary or not.
• Provide Front Office with ad hoc risk analysis and explanation of risk metrics.
• Maintain clear and open communication between Product Control and Market Risk whereby Market Risk understand the P&L and Product Control understand the risks.
• Communicate clearly with senior management, both through verbal presentations and formal written MI reporting. Management reporting must ensure that senior management have a clear high level overview of the overall market risk profile of the commodities portfolio as well as a detailed understanding of any material positions or concentrations of risk.
• Establish a strong working relationship with the Physical Commodities Risk Assurance team to ensure that risks relating to trading physical commodities are holistically understood.

Risk Monitoring and Control
• Maintain and enhance the stress testing framework for the commodity trading portfolios taking into account Market Risk and Front Office requirements, as well as evolving market conditions
• Maintain an ongoing review of the Market Risk limit framework and desk mandates, including the calibration of the limits to ensure their compatibility with delegated authority and approved risk appetite. Ensure the limits are updated at least annually, but in practice more frequently when needed. Ensure the consistency between the different limit documents whether they are communicated on paper or on the web site.
• Monitoring of the Market Risk limits and application of the excess procedures. Investigate and report / escalate breaches as per Market Risk procedures, with an appropriate documented analysis of the cause and resolution of any breaches.
• Ensure desk reports are signed off timeously as per current procedures.
• Perform back-testing, providing a summary on business activity including major exposures and current market updates.
• Review the appropriateness of haircuts taken on commodity repo transactions.
• Maintain an ongoing review of the market risks and controls relating to the physical commodities areas.

Regulatory
• Self-assess compliance within the commodities area against market risk regulations that apply to the UK jurisdiction. Communicate areas of potential non-compliance to the Head of Market Risk, together with proposed remedial action. 
• Provide reporting on commodities market risk to the regulators where required (e.g. quarterly IMA backtesting pack)
• Analyse, calibrate and report all RNIV’s per the bank’s market risk policies.
• Review back-testing, as per CRR specifications. Obtain commentary from Product Control for P&L exceptions and ensure a prompt reporting of the exceptions. Ensure PLA is up to date and accurate.
• Perform analysis on Reasonably Expected Near Term Demand to ensure limits for market making desks are appropriate in the context of the Volcker requirements.

Reporting
• Daily VaR & backtesting commentary.
• Provide MI on market risk from the commodities portfolio to the various management meetings and formal committees (e.g. Market & Liquidity Risk Committee and the Physical Commodities Committee). Reporting is done on a weekly, fortnightly, monthly, quarterly and ad-hoc basis.
• Ensure that reporting is tailored to an appropriate level of granularity depending on the intended audience.

Development
• Stay abreast of the markets. Market Risk is knowledge driven and a lot of reading is involved to keep up with the complexity and evolution of the commodity markets.
• Ensure an up to date knowledge of all relevant regulations pertaining to market risk that apply to the UK jurisdiction.

System Developments and New products
• Participate to new systems development. Provide specification to IT/Project team.
• New products (provide comments for NPPs) / liaise with FO to determine Risk mitigation strategies and formulate Market Risk opinion.
• Identify Risk not in VaR for new products or market developments.
• Ensure market risks are quantified correctly and the risk is correctly represented.


Preferred Qualifications and Experience

• Ability to work autonomously
• Quantitative Education. (MA level  or equivalent in a quantitative field)
• Experience of working in the Financial Services regulated environment.
• Extensive Knowledge, market risk experience, technical skills and expertise.
• Understanding of the PRA/FCA rules and regulations or equivalent.
• Knowledge of emerging markets.