Senior Market Risk Manager: IRO/XVA

Location: Sydney CBD, New South Wales
Contract Type: Permanent
Specialisation: Banking & Financial Services
Salary: 50% Bonus
REF: BBBH93853_1497316362

The Bank:

An Australian Bank with operations that span Asia, the Americas, Europe and South Africa; the bank is widely regarded to be the most allocatively efficient and technologically enabled among its peers.

The bank has consistently outperformed its competitors across its core divisions, delivered market leading returns on RWAs, has an exceptionally strong balance sheet and is self-funded.

The Division:

The investment and institutional banking division comprises of the following product areas:

Global Markets (Commodities, FX, Fixed Income and Rates), Markets, Structured Asset Finance and Advisory & Equity Solutions and Capital Markets.

The Team:

The Market Risk Team covers the development and validation of methodologies and production/reporting of risk measurement information covering: Economic Capital, Regulatory Capital. It also covers policy development, independent oversight, reporting, model development and capital calculations for Traded Market Risk originated within the Institutional Bank.

The team works closely with Sales and Trading, Finance, Balance Sheet Risk Management, Quantitative Modelling & Counterparty Risk, XVA Frameworks and Valuations/IPV, Chief Data Officer and COO.

The Opportunity:

To help drive success and influence strategy of growing markets business with a particular focus on the global Non-Linear Products Business.

The bank has a significant technology investment budget for the Risk Management Function. You will therefore have the opportunity to help drive and contribute to a number of exiting projects over the next 2 years. That includes: contribution to current IM and MIFID II projects, an FTRB Compliant Risk Engine, Enhanced Visual Risk Analytics, and Risk Management Systems Overhaul.

Career progression and development: Internal movement actively encouraged specifically into the Markets Business, Credit Risk and associated areas, Balance Sheet Risk Management, Treasury and Portfolio Management.

Accountabilities:

You will be accountable for the independent market risk management oversight of the non-linear products across operations in Sydney, Singapore, London and New York. This includes Pricing Capital & Valuation Adjustments (XVA), Interest Rate Options, FX Options and Equities.

You will also be involved in the design of the overall stress-scenario management framework, providing assurance over the option frameworks as they relate to commodities risks and ensuring transparency over traded market risk regulatory and economic capital measures.

You will be accountable for the identification, capture and reporting of traded market risks relevant to the non-linear desks to ensure full risk transparency. You will have delegated authority to approve transactions and will be responsible for constructively challenging risk outside of appetite boundaries for non-linear desks.

Detailed Responsibilities:

  • Ensuring full risk transparency through the identification, capture, understanding, measurement and monitoring of all traded market risk within the non-linear trading books in your area of accountability, including working with offshore Market Risk teams to ensure the consistent application of the risk framework globally.
  • Exhibit first class commercial acumen (risk/return optimization not only risk mitigation) when making decisions in relation to transactions and new product approval.
  • Ensure that market risk management regulatory requirements are met.
  • Advance thought leadership in relation to non-linear risks.
  • Explain daily P&L movements in reference to market movements to potentially identify unusual P&L activity.
  • Maintain and enhance the effectiveness of MRM's governance framework and control environment.
  • Advise Line 1 on impacts of risk taking on economic and regulatory capital usage and seek opportunities for improving the accuracy of capital measures as it relates to market risk.
  • Identify areas for continuous improvement including simplification of limit frameworks and policies.
  • Challenge the business for consistency of activity when compared against risk appetite and strategy.
  • Acting as a trusted advisor to the business on regulatory change, portfolio insights and competitor activity.
  • Provide timely and insightful risk reporting and analytics.
  • Operate in a manner constituent with the Group's Values and Risk Management Cultural Themes with a particular emphasis on team work and collaboration.
  • Effective management of stakeholder relationships.
  • Coaching of junior team members with a particular focus on market understanding and commercial acumen.

Active participation in Risk Management Committees and global risk calls.

Requirements:

  • You will have a keen interest in financial markets and will have c.10+ years' experience in the management/oversight of traded market risk within either Line 1 or 2
  • You will also have a highly detailed technical understanding of interest rate derivative products and the markets they operate in
  • Have an awareness of industry conditions and the competitive and regulatory landscape impacting capital markets businesses
  • Demonstrate capability to make risk decisions independently with full consideration of commercial, customer and risk impacts
  • Have well developed stakeholder and customer management skills; are able to communicate your thoughts and ideas using written and verbal techniques and are able to lead a team to drive business outcomes