Market & Liquidity Risk Analyst

An attractive Market & Liquidity Risk Analyst (x1 vacancy) job with managerial opportunity in a prestigious corporate bank organisation based in Bangkok has just become available.

About the Market and Liquidity Risk Analyst Role:

Reporting to the Head of Market Risk, you will lead all activity activities and manage teams across area resp. As the Market & Liquidity Risk Analyst, you will be in charge of resp. You will enjoy competitive base salary with health insurance and provident fund.

Key Responsibilities:

• Market risk limits:
  • Quantification of market risk limits, including regulatory, issuer and intraday limits, in line with the stated risk appetite
• Detection, anticipation, analysis, monitoring and recommendation on all markets, valuation and issuer risks (including risk wide measures such as VAR, stress tests and capital) of the Global Business Lines, on both their trading and banking books:
  • Identify hidden risks and potential threats early, and perform in depth reviews with a view to recommend actions to mitigate them
  • Escalate to Management and Business Heads when relevant;
• Review and approval, from a market risk point of view, of those transactions, which are outside the scope of TET and PS&F
• Valuation andIPV Process:
  • Definition of all marking methodologies
  • Monthly review of certain, illiquid, exotic and/or unobservable market parameters;
• Definition, calculation and regular review of Fair Value and Prudent Value Adjustments reserve methodologies
• VaR back testing & P&L explain:
  • Take all reasonable action to ensure requests from Calibration & Back-testing Team for comments on P&L and VaR related to VaR excesses is dealt with diligently (please refer to the P&L and back testing policy)
• Maintain strong knowledge of the valuation and VaR models, and their impact on capital, valuation and market risk sensitivities of the GBL’s portfolios. Ensure VaR figures and their variations are commensurate with the portfolio composition and can be explained.
• Implementation, in cooperation with Market Risk Transversal team, of the control plan on new banking regulations (ie French Banking Law/Volcker Rule).
• Responding on due time to local regulator requests on various market risk topics (stress tests, positions reporting…)
• Reviewing on regular basis the local market and liquidity risk procedures to make sure they describe properly the control framework in place.
• Appropriate representation of market risk exposures in the official risk systems of the Group (with Risk Systems).
• Reporting: market risk exposure as well as associated measures (VaR, stress tests, capital measures,..) of the relevant GBL’s
• Definition of risk measurement methods: stress tests (committee responsibility), regulatory measures, VaR methodologies
• Approval of amendments to trading mandates (for French Banking Law/Volcker Rule desks)
• Provide support to other RISK Function teams when GBLs’ Market Risk expertise is required

To succeed in this role, you must have good command of English.

Key Requirements:

• Five years' experience in market risks for flow derivatives: the candidate should have a solid quantitative background with ideally a previous experience in a quantitative environment through a technical role (e.g. through market risk, counterparty risk).
• Excellent knowledge of derivatives, structured products, ideally across multiple asset classes
• Ability to react quickly and challenge but precisely in high pressure trading situations with Front Office interactions, and remain to have independent point of view
• Strong interpersonal and communication skills (written and verbal) to further build the business / risk relationship and to clearly and concisely report the risk in a jargon-free way
• Ability to work in a team and interact with multiple stakeholders of different technical backgrounds
• The candidate should be able to efficiently prioritise work and show resourcefulness in order to meet deadlines, whilst having the ability to react to changing priorities as markets move

This leading professional corporate bank firm has an outstanding international reputation in its field and great value is placed on training and development. With a years year history this is a great brand to join at an exciting time in their development.

If you are a talented and focused Operations professional seeking the right opportunity to take your career forward, this Trade Service Operations Team Lead job is the role for you. You will be a part of a forward-thinking company that values innovation and a progressive mindset.

Apply now or call me to discuss this new opportunity.

Due to the high volume of applications, our team will only be in touch if your application is shortlisted.

Robert Walters Recruitment (Thailand) Limited
Recruitment License No.: น. 1188 / 2551