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.