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Bank Of America Global Markets Risk Manager United States, New York, New York 31867242
This job is responsible for the reporting, analysis, and monitoring applicable market related risks taken within a specific product area. Key responsibilities include analysis of model risk, analysis and reporting of market risk, distributing the market risk reports, and interfacing with the trading desk and other risk and support groups (i.e., Compliance, Finance, Operations, etc.).
Responsibilities:
Identifies and monitors market risk exposure and develops mitigation strategies and resolutions in accordance with the bank's risk appetite and risk limits identified, as well as regulatory requirements, as applicable
Manages risk requests, breach remediations and providing risk effective challenges for front line units
Sets managing risk parameters and guardrails for market risk, while ensuring adherence to risk appetite and limits, and actively designing risk scenarios to implement decisions
Develops market risk coverage plans, oversees execution of monitoring, testing and risk assessments, conducts analysis and develops market risk reporting for specific products and communicates changes to senior management
Liaisons with businesses to understand market trends and impacts on portfolio, using knowledge of stress testing and its applicability to market risk
Ensures adherence to the policies and procedures established by the company
Market Risk Manager primarily covering FRTB deliverables for various Line of Businesses (LoBs), such as Global Credit, Mortgages, Rates, Equities, etc. Key responsibilities include (but not limited to) the following:
- Review and challenge FRTB sensitivities (such as delta, vega and curvature) to ensure completeness and accuracy, based on Front Line Unit (FLU)'s data quality analysis and Market Risk Management's BAU expertise.
- Conduct trading desk level stress testing:
• Review desk level vulnerabilities, illiquid, one-way and concentrated risks on a quarterly basis and maintain a ‘key risks’ inventory for major LEs at desk level
• Design custom scenarios for more complex derivative / exotic desks to address their specific vulnerabilities
• Enhance risk reports to include the recalculation of the individual stress scenario loss amounts for these desks on a daily basis
- Calibrate and monitor FRTB sensitivities limits and monitoring metrics for LoBs
In order to gain the expertise to be able to handle FRTB deliverables, the role also needs to contribute to managing BAU risk positions and performing quantitative and qualitative analysis. Key components include:
- Identifying, managing, and communicating risk exposures
- Risk reporting across a broad range of audiences ranging from individual traders, to senior management and regulators
- Ensuring robust procedures to maintain regulatory complianceThe market risk manager will additionally assess a broad spectrum of risks, liaising with other risk functions as necessary, including operational, credit, and counterparty risks.
Required Qualifications:There is no unique background defining a successful Risk Manager. However, a quantitative mind, natural curiosity, a desire to challenge the status quo while searching for gaps and trying to see the big picture are key requirements. One or more of the following qualities would be beneficial:
• Previous experience as a Risk Manager working directly with the Front Line and performing risk analysis
• Strong quantitative and technical/programing skills
• Decent FRTB knowledge
• Solid academic background, which may include a postgraduate qualification
• Good people skills demonstrated across various communication styles (both written and verbal)
• Knowledge of financial markets, ideally with solid understanding of Macroeconomics
• Understanding of financial derivatives and modelling
• Ability to multi-task and prioritise across several competing demands, meeting tight deadlines
• Effective team player
• Intellectual curiosity
• Excellent problem-solving skills.
• Highly motivated with the drive and potential to learn from others.
Skills:
Analytical Thinking
Critical Thinking
Portfolio Analysis
Risk Analytics
Data and Trend Analysis
Decision Making
Oral Communications
Presentation Skills
Written Communications
Active Listening
Issue Management
Monitoring, Surveillance, and Testing
Regulatory Compliance
Technical Documentation
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