Overview: We are looking for a highly skilled and motivated Risk Framework Officer to join our dynamic team. In this role, you will report to the Head of Market Risk EMEA and take on the crucial responsibility of managing data administration in a consistent and secure manner. Your expertise will ensure the integrity of our control processes, quality checks, certification, and the delivery of data to official repositories.
Key Responsibilities: Produce and report all key risk indicators daily, including qualitative and quantitative metrics such as authorized products, currencies, Notionals, VaR, sVaR, Stress Tests, and Volcker indicators. Control, analyze, and certify risk indicators, focusing on daily and intraday variations against established limits. Communicate with Business Lines (BLs) and Financial Risk Management (FRM) regarding limit breaches and loss alerts, maintaining daily interactions with trading operators. Generate and certify various Profit & Loss (P&L) reports, including Economic P&L, Actual P&L, Hypothetical P&L, and Risk Theoretical P&L, while analyzing and explaining any variations. Consolidate and certify income attribution and manage the P&L sign-off process with the Front Office. Produce regulatory VaR and RIM backtesting components and exception reports; compute market risk reserves and report variations monthly. Handle Day One calculations for new "unobservable" transactions and manage XVA certifications, ensuring proper analytical allocation. Oversee the reporting of economic P&L to relevant departments and stakeholders within the group. Collaborate with Finance on cost of risk, accounting gaps, FX position management, and quarterly closing components. Create and maintain dashboards for Senior Management, providing consolidated risk reports across the organizations UK and desks daily, weekly, and monthly. Prepare support documentation for head office Market Risk Committees and the EMEA Market Risk Committees.
Independent Price Verification (IPV): (as backup under exceptional circumstances) Ensure effective, automated, and documented market data controls. Collect and validate market data for Front Office calculation systems, reporting any relevant information or necessary amendments.
Valuation & Observability: Guarantee the accuracy of marking and review of parameters from market prices, defining guidelines and best practices. Oversee the completeness of valuation processes and observability frameworks, ensuring compliance with regulatory requirements. Participate in governance and uphold policies, procedures, and escalation processes related to valuation frameworks.
Key Skills and Experience: A quantitative background in science, mathematics, or engineering. Previous experience in Independent Price Verification (IPV) for commodities is a plus. Strong financial market knowledge of derivative products within the commodity asset class. Proficiency in Excel, including spreadsheet creation/maintenance, VBA, and SQL. Excellent presentation and synthesis skills, with a detail-oriented mindset. Ability to work independently while effectively communicating both orally and in writing. Familiarity with Sophis Commodity is a plus.
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