Senior Risk Analyst, - Derivatives and Equities

City of London
£400 - £600 per day + Excellent prospects
11 Feb 2013
11 Mar 2013
HA-12324057
Bruce Marks
Finance
Contract
Full Time

Reporting to the Manager, Listed Derivatives and Cash Equities, within a broader team of 60 the role will be to provide a significant and positive contribution to the day-to-day risk and operations management of the Listed Derivatives team and Cash equity Team. The team is responsible for all aspects of risk management of listed products mainly on LIFFE NYSE, Turquoise and ECL (Cash Equities). The main duties will cover: The maintenance of a robust default management framework; Calculation and verification of mark-to market, Initial margin and VAR calculations; Model calibration; Back testing; Daily risk reporting and stress testing of members' portfolios. This will include liaison with all stakeholders and other users of our services including the relevant Exchanges, Commercial Services, Business Operations and I.T.

The successful candidate will be expected to be a self starter who can work effectively within a team or be motivated to work unsupervised and who adopts a positive and proactive attitude to work. The ability to successfully project manage a project from inception to completion is a requirement.




Responsibilities







Tasks



Initial Margin

Ensure understanding of the detailed calculations; including the assumptions inherent within the margin algorithms


Ensure adequacy of the algorithms is tested in line with policy;


Ensure that parameters are reviewed in line with policy


Ensure regular back-testing of algorithms is completed against observed member portfolios


Ensure the adequacy of initial margin is reviewed regularly and that members for whom initial margin is insufficient are highlighted and the appropriate action is taken in line with policy


Ensure that the algorithms remain in line with market best practice; recommending areas for improvement as appropriate


Ensure all new and existing products are appropriately margined.


Ensure pro-active review of existing policies highlighting areas where policy or parameters need, or would benefit from, amendment.



Valuation

Ensure understanding of the detailed calculations; including the assumptions inherent within the curve building methodologies, option and fair value models.


Ensure that valuation policies and procedures, both intra-day and end-of-day, are reviewed against market best practice and that valuations are reflective of prices that could be achieved in the event of a member default.


Ensure all new and existing products are appropriately valued.


Ensure pro-active review of existing policies highlighting areas where policy or parameters need, or would benefit from, amendment.



Stress-testing

Ensure maintenance of product specific stress-testing scenarios;


Recommend additional historical or theoretical scenarios are considered for inclusion in the model where observed market conditions or market behaviour would warrant consideration.


Ensure that new products are included within the model appropriately and any new scenarios recommended for inclusion if appropriate.



Market Monitoring

Produce regular reporting to identify exceptional positions; recommending further action as appropriate including requesting further information from exchanges; regulators or member firms


Ensure detailed understanding of the characteristics of the cleared markets and insofar as they are related, uncleared markets


Ensure detailed understanding of the delivery or settlement arrangements for cleared products


Ensure that measures of liquidity and market behaviour are in place to quantify potential risks


Recommend changes to policies or procedures where they are not applied consistently across products regardless of trade source of origin.


Pro-actively review all cleared products to ensure that all products; including their maximum maturity restrictions; remain clearable in line with policy



Collateral

Insofar as is appropriate, ensure reviews of acceptable collateral and any associated haircuts are conducted in line with policy.


Insofar as is appropriate, ensure valuation of collateral in consistent with market practice and valuation policies.


Pro-actively review the list of approved collateral making recommendations for change as appropriate.



Default Management

Ensure understanding and compliance of our Default Management Framework


Recommend changes to the Default Management Framework where necessary especially after new products or markets have been introduced


Assist in the regular internal Default Management Fire-drills where we simulate a member default and stress test or Default systems



Corporate Actions

Ensure that valuation and initial margin calculations remain reflective of market risk in the event of a corporate action



Operational

Ensuring that the daily operational tasks are completed within the scope of defined risk management policies.



New Business Development

Assume the lead in new business and new contract development for the product area, producing analysis for our internal Market Risk Management Committee (MRMC) and, if appropriate, the external Risk Committee.


Integration/Harmonisation

Under the guidance of management work towards the integration of systems, policies and procedures within the Group.



Management

Not applicable


To find out more about Huxley Associates please visit www.huxley.com