Market Risk Manager at Standard Bank Group

About the Job

Job Description

• The role requires the incumbent to take responsibility for identifying, measuring, managing and reporting market risk exposures, relative to a predetermined risk appetite, on Structured Solutions Desk. This desk deals in bespoke Structured deals which include XVA’s, non-linear risk, Exotic derivatives covering all asset classes.
• In order to do so, optimum use is required to be made of risk, front office and reporting technology, in addition to which daily interaction with the trading team and other related business support functions will be necessary.
• The role also requires periodic rotation into other desks (equities, structured credit etc.) in SA.

Key Responsibilities:

• Display an effective understanding of the markets in which Global Markets trades for that specific desk
• Understanding of the derivative products and their associated risk metrics for that specific desk
• Critically analyse output produced in relation to the above understanding
• Ability to automate manual processes in line with the digitisation strategy
• Act as a Market Risk business lead in Global Markets systems changes that impact the desk. This will include defining the testing requirements from a Market Risk perspective, participation in testing as well as documentation of the testing output for approval by the Market Risk Technical Committee (MRTC).
• Conduct certain duties DRMs are responsible for a specific desk (or desk the DRM is backing up), these will include but not limited to the following:
• Complete accurate and relevant risk reporting for the daily, monthly and periodic reports and present at committees where applicable.
• Ensure matters arising from regular trader meetings are proactively included as input into regular Market Risk Committee (MRC) meetings.
• Ensure relevant, meaningful and insightful commentary is included in all reports (daily, weekly, monthly etc.) relating to market risk changes and profit and loss attribution.
• Ensure key risks are highlighted at weekly engagements with traders for example significant strike exposure going into options expiry.
• Ensure effective and comprehensive price validation of liquid risk drivers (daily) and illiquid risk drivers (at least monthly).
• Ensure that market risk consumed by the trading & banking operations is within the Alco approved appetite with limit breaches escalated to relevant audience.
• Ensure that limit breaches are resolved within 24 hours of the breach occurring.
• Follow-up on appropriate breaches to ensure positions are brought in line with or agreement reached where not brought in line.
• Monitoring of back-testing exceptions together with action taken to resolve when exceptions move to a red grading.
• Enhancement to reporting process to ensure accuracy of reported risk exposures and prioritise automation with relevant IT teams as required by BCBS239 principles.
• Ability to do continuous checks on the data used in the computation of our various risk measures to ensure appropriateness and accuracy.
• Participate in FRTB testing and tracking if applicable.
• Participate in producing QIS output as required by Basel Committee when applicable.
• Calculate or review regulatory market risk capital for the desk submissions including commentary on movements and review and understand South African Reserve Bank capital submissions.
• Conduct annual and ad-hoc product and limit mandate review in consultation with the Market Risk Asset class head and Trading desk head.
• Participate in the new business plan evaluation, new products implementation and structured transactions assessments in order to identify market risk for the desk. Present results to relevant forums for approval.
• Ensure effective collaboration with other areas (e.g. Product Control, Credit, Global Markets, IT, etc.) in SBG.

Qualifications

• BSc honours / Masters (Maths of finance) and/or BSc/BBusci Actuarial Science; CQF; BSc/BCom Honours Mathematical Statistics/Applied Mathematics, Quantitative Finance.
• Mphil in Maths qualification

Experience Required

• 5 - 7 Years Experience and understanding of the market risk function in as far as the control component, market risk measures specifically option risks and XVA’s including counterparty and funding valuation adjustments across multiple asset classes and product types.
• 3 - 4 Years knowledge of derivative Global Markets Products including valuations of derivative transactions.

Behavioural Competencies:

• Interpreting Data
• Meeting Timescales
• Examining Information
• Team Working
• Checking Details

Technical Competencies:

• Risk Reporting
• Written Communication
• Numerical competence
• Analytical skills
• Exposure to Global Markets products