eFinancialCareers

• Company

  Royal Bank of Scotland

• Location

  UK-London

• Compensation

  Competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  16 Nov 2009

• eFC Ref no

  583513

Support the CEEMEA hub head in measuring, monitoring and independently managing market risks arising within Local Markets Business in the London hub.

Requirements

• Product coverage – All Market instruments including cash, derivatives.
• Communicate with trading desks to understand strategies, market moves & P&L drivers
• Review daily risk reports – identify errors in reporting. Analyse contributions to desk VaR, identify and analyse trading P&L drivers.
• Ensure compliance with Market Risk limits as agreed with Trading Desks and regulatory requirements.
• Analyse market liquidity
• Understand and aid implementation of regulatory directives.
• Participate in portfolio risk reviews.
• Aid regional head in setting up limits that reflect senior management risk appetite. Arrange for annual review of limits.
• Design scenarios to capture extreme losses.
• Review and approval of new products.
• Make snapshot reviews of any major event in the market and keep the regional team appraised.
• Interact with product control and raise issues of independent and accuracy in valuation methodology.

Responsibilities

• Ensure market risk is properly reflected in daily risk report.
• Timely inform management of significant market movements, dramatic change in trading risk profile, sizeable P&L events and their contributors.
• Periodical performance of scenario analysis to capture “worst” case losses.
• Through improved risk reporting, enable a better management understanding of risks in the LM books
• Communicate timely with regional head any abnormal trading activities, dramatic change in market movement, significant change in risk profile, etc.
• Approve temporary limit excesses as per delegated authority. 
• Provide analysis for decision making at higher level.

The Individual

      Essential

• Experience in market risk management.
• Familiar with products traded in region: EM FX spot, forward, NDF, EM Credit and EM Sovereign Debt, EM Rates and Local government bonds.
• Excellent conversational and written English
• Degree or equivalent qualification in a numerate discipline
• Foundation level understanding of risk metrics, including ability to calculate these from ‘first principles’
• Knowledge of Emerging Markets
• Confident in excel and conversant with basic programming VBA
• Familiarity with Front Office systems
• Familiarity with risk management systems 

Desirable

• Trading background
• Professional qualification in a relevant programme, eg CFA, PRMIA, ACT/MCT, Securities Institute Certificate
• Familiarity with Front Office and Risk Management systems.