Market Risk Manager

Job Summary

As one of the competence centers of the Group Risk Control function, the Financial Risk & Reporting department (FRR) acts as 2nd line of defense for matters relating to market risk and liquidity risk (M&LR) arising from the Bank’s activities (Private Banking, Asset Servicing, ALM & Treasury). To that end, the department is the central architect of the function risk data warehouse and the reference in quantitative modelling for risk matters. In addition, it is also responsible for transversal risk projects and reports such as ICLAAP, GRP, SRB.

Reporting to the Head of Group M&LR, and being part of a team of 7 officers, the successful candidate will be an enabler to the optimal run of business activities within the risk appetite envelope for Group ALM and trading activities, by leveraging its seniority previously acquired in similar roles. 
 

Job Responsibilities

a)    Partner with colleagues from the FRR department and the business to provide independent risk acumen, in particular 

• 10+ FRR colleagues, fostering risk culture in the team and outside;
• colleagues in the ALM & Treasury teams in the Dealing Room: offering them with sup-port and challenge in a solution-minded approach;
•  colleagues within the other entities of the Group when providing them with new report-ing guidelines or when consolidating data up-streamed to the Luxembourg Head Office; 
• senior management: answering their questions on past evolutions.

b)    Take active part in the Bank’s risk monitoring processes by

• computing daily/monthly liquidity indicators for the entity in Luxembourg and for the Group;
• computing monthly VaR and sensitivity indicators on interest rate and credit spread risks in the Banking Book;
• computing daily (stressed) HVaR and sensitivity indicators in the Trading Book; 
• producing reporting to the Management and/or the regulator on those different set of indicators;

c)    Interact with external stakeholders such as Regulators and or External auditors; answering their requests, timely delivering action plans.

d)    Promote the role of the 2nd Line of Defence in raising ownership, awareness and risk culture in the 1st Line of Defence by offering the right balance of support and challenge.
 

Qualifications / Experiences

• At least 5 years of experience in a financial risk role.
• Robust knowledge of risk regulatory frameworks (Capital and Liquidity aspects). 
   

Skills

• Demonstrated interest/ability in adapting to a changing EU regulatory framework
• Strong reporting skills: i.e. able to realise complex tasks requiring accuracy and reliability
• Good financial knowledge and analytical skills: i.e. able to adopt a critical eye on the reporting produced and to extract the main information relevant to the various stakeholders
• Excellent command of MS Office – Knowledge of VBA for Excel and/or Access and of SQL is a plus
• Knowledge of Kondor, Risk Fusion, LexiFi or Bloomberg would be considered as an asset

Languages

• Fluent in English, French is an advantage