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.
- Risk Analysis: Identify, analyse and monitor market and liquidity risks on the perimeter.
- Measure and monitor these risks, develop monitoring tools, and report to Business and Senior Management
- Pro-actively assess positions, analyse large P/L events and identify/quantify new risks.
- Participate in developing tools for the limit framework/monitoring. Assist in the definition, review and implementation of limits and ensure they are well monitored and reported in systems.
- Build a solid understanding of main business risks. Create tools to help develop intuition for what are the main risks and their drivers, as well as how to address them.
- Risk Anticipation: Develop analysis on their respective perimeter in order to innovate and identify emerging risks
- New Trades/ Activity approvals: Participate in the definition and assessment of the risk management framework for new trades/products/activities through contribution and/or attendance to decision making process, in particular ETs,TACs, NACs.
- Stress Testing: Develop, compute and analyse market and liquidity stress-test scenarios. Regularly review and update stress testing scenarios.
- Ensure compliance with relevant regulations in the risk area
- Innovation: participate to our global innovation and transformation effort by suggesting/implementing improvement of our tools and working methodologies and introducing new digital technologies in our day to day.
- Work closely with other Market Risk teams (FXLM Linear Market Risk, G10R Market Risk and Macro Financing Market Risk) and RISK GM Analysis Japan to ensure strong collaboration on market risk topics.
- Transaction analysis: Work in close collaboration with TET in the market risk analysis of complex / structured transactions, TAC/NAC.
- Model & Methodologies: assists and work in close relation with RISK GM Model & Methodologies in the review and approval of valuation models developed by Business Units, as well as definition of market risk reserve, MAP and PVA methodologies; review and approval of non-standard market parameters and approximate booking.
- Work in close collaboration with other risk teams such as RISK ERA and RISK ALMT when our expertise is required
- Internationalization: work closely with RISK GM Services in the Internationalization projects ensuring proper support and training is given to the team in charge of the production and transformation
Company Reg No.: 201131609D | Licence No.: 11C4684 | EA Reg no: R1660533