JOB PURPOSE

Purpose: The MFI MSI MLR team is responsible for ensuring an exhaustive and transparent coverage in terms of perimeter and risk types. The team also provide (and conclude upon) external risk disclosures and contribute towards the design, incubation, implementation and ‘run mode’ of the risk analysis governance framework. The MFI MSI MLR teamwork in close cooperation with the ST Team on stress testing and general wrong way risk related topics. The team hence forms a key part of the Group’s risk identification platform and provide analysis both to senior management and regulators.
Scope: Global

KEY RESPONSIBILITIES

Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate.
Analysis on market risks measures such as Greeks, understanding of the outright and various basis exposures, the P&L explain, the Regulatory VaR and SVaR, as well as the Stress Tests (assumptions and drivers).
Analyse risks and put metrics vs market-dynamics into context, regarding the expected impact, compiling the information and reporting findings to the Management, in the form of supporting the various risk committees/meetings in place, including GM Main Positions Meetings. Interact regularly with Global Markets and RISK MFI (Markets & Financial Institutions), representing RISK MFI MSI in the regular meetings with Trading and RISK, taking full responsibility for commenting exposures and contributing on discussion topics and points of attention, having full ownership of the meeting document and meeting minutes/notes.
Contribution on related topics to the production of the monthly Financial Market Risk Committee (FMRC) documentation. Contribute to the production of other relevant / on demand reports to the Board and to Group, Businesses and RISK Management, as well as requests from ratings agencies, regulators and auditors.
Improve reporting through continuously adjusting the contents based upon information on prevailing business activities, in order to aid the decision making of Senior Management.
When dealing with subject matter experts, show understanding of complex topics, such as those involving quantitative analysis, models, stress testing, etc; demonstrating awareness of quantitative skills / techniques.
Drive infrastructure upgrades/development ensuring improvements and maintaining understanding of changes and ability to explain them. Improve existing processes in order to optimize efficiency, improve transparency, enhance functionality and ensure optimal quality of reporting.
Provide expert assistance to MFI MSI ST and RISK MFI in stress testing matters and related regulatory reporting contributions. Contribute to reference rates (i.e. SOFR) regulatory templates / analysis.
Adhere to procedures, performing controls and data quality processes.
Developing models for Market Risk analysis and internal Stress Testing, doing draft presentations and technical documents designed to articulate key risks to non-risk forums, among other responsibilities.
Supporting the development of junior team members (educating them and driving their development).

The responsibilities of RISK MFI MSI are focused on three interlinked areas:

• Management Information framework,
• Capital Markets Stress Testing framework and Regulatory Measures,
• Capital framework