Risk Analyst - OTC

Job Description:

• Reporting to the Manager, xVA, the Senior Analyst’s accountabilities include:
o Work closely with Front Office, MRC, Finance, Project and Technology, providing expert knowledge and support to simulated exposure, credit spread & xVA analysis and system implementation.
o Act as a subject matter expert on pricing and simulation of OTC derivatives, curve construction methodology, netting/aggregation logic and ultimately the xVA methodology.
o Act as a subject matter expert on the workflow & report logic and pricing/simulation capability of the xVA system and be the go-to person for impact assessment of key initiatives within the Firm and make sound recommendation on system and operational readiness.
o Assist with daily and month-end xVA & PC-MS reporting & commentary and ensure reporting integrity by conducting various controls such as MTM reconciliation, trade discard & warning and PnL attribution within tight deadline.
o Assist with daily xVA risk monitoring and perform deep dive commentary of risk drivers to ensure the risk is understood and maintained within the Bank’s risk appetite.
o Take initiatives to build Python/excel based analytical tools to facilitate more efficient and systematic data discovery and analysis as well as control processes.
o Pioneer and lead in the xVA system replacement project and play a critical role in data & system analysis, requirement drafting & testing regarding internal controls & reporting, new deal type onboarding, new xVA measures enablement etc.
o Proactively keep track of vendor deliverables and get a good understanding in vendor limitation, solution and implementation.
o Build a deep understanding of the various derivative and financing businesses that CMRM supports.
o Maintain an understanding of regulatory landscape related to risk reporting and xVA.
o Provide ad-hoc data mining and risk reporting when required in support of internal or external requests.
o Maintain thorough understanding of all key risk and risk-related issues through continual review of risk reports/related data and dialogue with relevant parties.
o Continuous enhancements of the methodologies implemented in client’s BFG risk.

Department Overview:

• The Capital Markets Risk Management (CMRM) area is part of the client’s Corporate Risk Management function. Our teams are accountable for the generation and monitoring of an independent view of the Profit and Loss, Market Risk, Counterparty Credit Risk, xVA, Collateral and Valuation activities of The Bank’s global trading activities. We support wholesale business initiatives, inform an array of risk management decisions and facilitate business through managing evolving front office needs, while ensuring appropriate capture and control of risk.
• Within CMRM, the xVA team is responsible for a number of activities related to the quantitative analysis of valuation adjustment, simulated exposure & credit curves and policy implementations. The xVA team oversees the implementation of new simulation models and analysis of the key measures used by The Bank to monitor and control xVA. We further provide support to the front office’s ongoing xVA related queries. This includes “what if” analysis on potential trades, sensitivity, curve & exposure movement and identification of xVA optimization opportunities.

Selling Points of Position:

• Capital Market risk role that will allow you to learn in depth risk knowledge. Will require you to be knowledgeable about all prototypes and develop tight work relationships with market risk control and finance for networking opportunities.

Best Vs Average Candidate:

• Best candidate is someone who already has experience in relevant field, solid knowledge in derivates and risk management. Has experience with various stakeholders, dealing with various projects and complex issues and problem solving.

Summary of day to day responsibilities:

• XVA PnL reporting
• Need to interact with various stakeholders to ensure evaluations are correct for reporting purposes as well as pricing perspective and helping front office shareholders to do their job properly.

Must have Job Requirements:

• Working knowledge in the pricing of OTC derivatives.
• Experience with working with a complex system and comfortable with reading specifications.
• 2+ years’ experience with producing reports and attributing PnL.
• Degree specializing in finance, risk management, or other quantitative discipline.
• Self-motivated and willing to take ownership and initiative with a positive attitude.
• Ability to prioritize multiple tasks and deliver results in a fast-paced environment.
• Capital market risk management experience 2+ years is a must
• XVA knowledge

Nice to have:

• CFA or FRM candidates preferred.
• Knowledge in and experience with Python preferred.
• Previous work experience primarily focusing on OTC derivatives is an asset.