Junior Market and Counterparty Credit Risk Manager

5 months ago

Mumbai, India Investec Full time

Investec is a distinctive Specialist Bank serving clients principally in the UK and South Africa. Our culture gives us our edge: we work hard to find colleagues who'll think out of the ordinary and we put them in environments where they'll flourish. We combine a flat structure with a focus on internal mobility. If you can bring an entrepreneurial spirit and a desire to learn and collaborate to your work, this could be the boost your career deserves.

Team description

As part of the second line of defence, the Market Risk team is responsible for the oversight, control, governance and reporting of both market risk taking activities and counterparty credit risk taking activities within the trading book, ensuring an effective day-to-day operation of the risk management frameworks.

Description of role and key responsibilities

The following are your responsibilities within this role (some of which you will learn to do):

Act as the Second Line of Defence and to proactively identify, quantify and monitor all market and / or counterparty credit risks for your assigned Trading Desks. This includes investigating and assessing any of these risks, and ensuring they are well understood by management. Monitor all limits daily. Ensure limit breaches, exceptions or technical issues are pro-actively dealt with / escalated. Design, develop and generate accurate (and meaningful) risk reports that can be quickly generated with minimal manual intervention, using risk systems (Chi, EME) as well as Python and PowerBI. These reports must be distributed to the Business in a timely manner, on a daily basis (or as required). The reports should reflect the relevant portfolio risks, explaining the risk movements, and any other analysis as required. Develop Python-based tools that assist you in providing accurate and meaningful risk insights, and / or which help the team improve efficiency. Understand the trading environment in which your assigned Desk operates, including their trading and hedging strategies, their products, and the underlying market dynamics (including liquidity). Develop and maintain a broad understanding of the different Desks and their respective markets so that you can provide cover for other individuals within the team with their risk reporting responsibilities. Recommend and motivate limits for your assigned Desks. Advise traders of limit / credit line availability. Upload limits promptly and accurately. If required, you may need to learn to investigate and explain changes in either the Trading Book Regulatory Capital, the derivatives margins, XVA reserves or other related metrics. Assist in the preparation of any other required risk reports on periodic basis. Where needed, specify and test any risk system changes. As part of your broader control framework and project-related responsibilities, you will be expected to: Use PowerBI to build and / or edit reports Develop an understanding of and apply the various policies and guidelines that govern the team. Develop an understanding of relevant models / methodologies (eg VaR, SA-CCR, XVA, FRTB MR and FRTB CVA). Assist in the design and periodic review the Market Risk Stress Testing Framework for all Trading Desks. Work with other teams to remediate and improve existing processes across other control functions, as required. Draft documentation to a high standard, including policy documents, procedure document and requirements specifications. Where project requirements relate to regulatory implementations, your work will include reviewing the regulatory specifications. Where the work has necessitated some IT development, the work will include comprehensive testing of the final implementation, as well as documentation of testing results.

Core skills and knowledge

Technical knowledge that is a pre-requisite for the role:

• A strong ability to code in Python.
• Knowledge of applied mathematics and / or numerical techniques employed within financial models, for example Monte Carlo, Finite Differences, lattice methods, etc.

Educational Background:

• A Bachelor's degree (or higher) in a numerical (this can be applied maths such as engineering, or pure maths) or computer science discipline Core skills and personal attributes that are required for the role:


• Analytical and numerate. A problem solver.
• Diligent, with strong attention to detail.
• A hands-on, pragmatic approach, and an ability to self-manage, research, design, prioritise, implement and deliver work in a time-efficient manner.
• Willingness to learn and ability to pick up new skills and technologies.
• A self-starter who takes initiative.
• An ability to think independently and challenge the current process in order to improve controls and efficiencies.
• Excellent communication (both written and verbal).
• An ability to think holistically
• A general awareness of the market/economic landscape.
• Demonstrate an energetic, passionate, creative and resilient outlook (willing to continue trying after failure).
• Honest. Act with integrity at all times. Embrace the philosophy of doing the right thing and treating our customers fairly.
• An ability to collaborate across functions effectively.

Additional technical knowledge that are essential to the role but which can and will be developed when in the role:

• An understanding of market and / or counterparty credit risk management principles and practices.
• An understanding of financial products across different asset classes (including appropriate pricing models and risk methodologies) and a good understanding of the associated trade lifecycle process.
• Knowledge of risk methodologies in general (for example Value at Risk, Stress Testing, Scenario Analysis)
• Knowledge of related risks such as credit, liquidity and operational risk, as well as how these might interact with market and counterparty credit risk.

Investec specific knowledge and how it is applied:

As part of our collaborative & agile culture, our working week is 4 days in the office and one day remote.

Investec offers a range of wellbeing benefits to make our people feel healthier, balanced and more fulfilled in their lives inside and outside of work.

Monetary

Non-contributory Pension & Discretionary Bonus

Life & Income Protection

Life Assurance, Critical Illness & Income Protection

Embedded in our culture is a sense of belonging and inclusion. This creates an environment in which everyone is free to be themselves which helps to drive innovation, creativity and ultimately business performance. At Investec we want everyone to find it easy to be themselves, and to feel they belong. It's a responsibility we all share and is integral to our purpose and values as an organisation.

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