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Market and Liquidity Risk Analyst

2 weeks ago

Singapore BNP Paribas Full time

**POSITION PURPOSE**:
The mission of RISK Global Markets (“RISK GM”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.

Based on the Group’s Risk Appetite Statement and in line with RISK’s mandate, RISK GM will act as second line of defence for the risks within its remit. As such, it will contribute to the definition of GM’s target risk profile, their risk decision-making process and the optimisation of resource allocation in order to support the business to grow in a sustainable manner. It will monitor the actual risk profile versus the target one, and assess how it may be impacted by new activities and upcoming evolutions.

**RESPONSIBILITIES**:
**Scope**: Global Macro & Global Credit APAC desks covered from Singapore

**MAIN RESPONSIBILITIES**:
**Business line leadership**

**Risk anticipation and detection**

**Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks**:

- Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions.
- Escalation to RISK and business management.

**Risk control framework**

Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.

**MANAGEMENT OF SPECIFIC PROCESSES**:
**BUSINESS LINE LEADERSHIP**:
Responsible:

- Point of contact for GM on GBL market risk topics.
- Articulation of main risks and risk opinion to management.
- Review of and opinion on information and views provided by GM.
- Understanding valuation, capital, funding, and liquidity impact of business line.

Contribution:

- Provide support as business-line expert to other RISK teams.
- Understand business-line valuation models and methodologies and escalate weaknesses and concerns.
- Understand market risk capital framework and escalate weaknesses and concerns.
- Market risk analysis of structured/complex transactions as part of NAC/TAC.

**RISK ANTICIPATION AND DETECTION**:
Responsible:

- Understanding the valuation, risk and P&L of business line activities in the context of current, past and potential market conditions.
- Animation of Main Position meetings and other forums with the business line, providing independent risk analysis and opinion, escalation of risk topics, and challenge to the business view.
- Providing accurate and appropriate risk information and opinion to the FMRC and other senior management forums. Escalating risk topics to senior management as needed.
- Performing in-depth, ad hoc analysis, formulating an opinion and escalating as needed, while judging priority, on any and all market risk topics affecting the business line.

Contribution:

- Reporting market risk exposure and measures (e.g. VaR, stress tests).

**RISK CONTROL FRAMEWORK**:
Responsible:

- Analysing the business line with the tools available, driving the improvement of these tools, and ensuring that risks for which tooling or data is inadequate are nevertheless adequately understood.
- Setting and ensuring timely review of market risk limits in line with RAF.
- Escalation of limit excesses.
- Review and approval of the market risk of transactions outside of Transactions team scope, with reference to ET and MPM frameworks.
- Approval of amendments to trading mandates for French Banking Law/Volcker Rule desks.

Contribution:

- Definition of risk measurement methods such as stress tests (STSC responsibility), regulatory measures (dedicated committees), VaR methodologies (MARCo).
- Work with Platform, Risk Systems and GM to ensure appropriate market risk representation.
- Provide support for regulatory requests and missions: e.g. On-Site Inspections, Quantitative Impact Studies, Bank Reform Committees (e.g. Sub ICC).
- Contribution to collateral eligibility process.
- Support assessment of quality, liquidity and price volatility of securities;
- Recommend valuation methodologies of complex collateral in collaboration with Model Risk and Platform teams.
- Contribute to Non-Standard Booking process including Complex Booking approval, review of approximate booking and non-contractual data methodologies (where not covered by Platform).
- Contribute to FBL/Volcker Rule control plans.
- Participate in VaR sign off process.

**COLLABORATION AND COMMUNICATION**:
It is the collective responsibility of the different RISK MFI teams to ensure smooth collaboration between the A&D and Platform, and between the different sub-teams. It is the responsibility of each team to be alert to and act against the formation of silos or other hindrances of smooth and efficient collaboration.