Ensuring in-depth review of existing market risk management reporting framework ensuring that all hedging costs including liquidity premiums, FX and embedded options are accurately identified, measured and transfer priced.Meeting regulatory, board, and management timelines to report market risk metrics such as balance sheet duration, convexity, Economic Value at Risk, Net Interest Income Sensitivity and explaining period over period movements of these metrics.Plan and lead projects to assess soundness of the implementation, modeling approaches and business assumptions of key models used for Market Risk Management, particularly Basel III Regulatory Capital.Build out local MIS around risk positions and ensure that it fits within the local governance / reporting requirements.Quantitative and qualitative analysis of risk position.Determining daily risk positions (overdraft reporting, excess reporting).Close interaction with our business-partners both within ICM and across GTB, CRM, DCO, Legal, Audit and the wider bank.A strong team worker with the ability to build business and team relationships.An excellent communicator with proficiency in English – both written and verbal.Ensure regulatory requirements, particularly with respect to regulatory capital are implemented appropriately and support the production of the reports and analysis used for management decision making and regulators as needed.
Involvement in all risk-aspects of the business (new products, new regulatory requirements).Review of products and local markets from a risk perspective (portfolio structure, processes, gaps analysis).First point of contact for all ICM Credit and Market Risk topics arising in NY.Model development, design, theory, assumptions.
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