The Market Risk Management & Analysis department measures, monitors and analyzes the market risk of the firm globally. We play a key role in the risk/reward decision making process and measure the losses that the firm would experience under a variety of normal and extreme market conditions, across asset classes and business units globally.
The MRMA department is made up of the following groups:
- Market Risk & Capital Quantification (MRCQ): The group is the authoritative source of the firm’s market risk and market risk capital measures used by the firm’s various risk management (e.g. Firmwide Committees; Senior management) and regulatory bodies. To that effect, this group performs a number of functions, including the design, development and maintenance of:
- its own – independent - market risk measurement models;
- the calculation component of our state of the art technological platform; and
- the data models and analytics it requires to ensure the accuracy and performance of its measures (e.g. Anomaly detection; data governance etc.);
The group is also responsible for the calculation of all relevant market risk and market risk capital measures using the above; and for ensuring that there is appropriate governance around its function and for evidencing that the controls it operates are effective.
- Market Risk & Capital Analysis (MRCA): The group is responsible for monitoring, analyzing, and communicating market risk and market risk capital for internal risk management, supervisory and regulatory purposes. The group uses financial, quantitative and analytical expertise to ensure that the risk taken is consistent with the firm’s risk appetite. Its functions include:
- Monitor market movements and conduct what-if analyses for risk and capital purposes;
- Review, analyze and communicate VaR, stressed VaR, single and multi-asset stress tests, risk sensitivities and capital measures; and
- Oversee and operate the firm’s market risk limit framework and ensure relevant risks are effectively communicated to stakeholders;
- Risk Architecture (RA): The group is responsible for governing the design and implementation of market risk and market risk capital measures, including model performance, backtesting and industry advocacy. Its functions include:
- Perform backtesting and review model performance;
- Review new firmwide market risk and capital measures / treatments and changes to existing measures / treatments;
- Review new activities and their implications on risk/capital treatments/methodologies;
- Monitor risk and capital methodology / treatment observations; and
- Industry advocacy on risk and capital related regulations
- MRMA Governance: The group is responsible for managing the department’s operational risk, model risk, and regulatory risk.
- Manages regulatory assessments and interactions
- Makes our operating risks transparent through a suite of standards, processes, and tools which embed governance and quality assurance in process design throughout the data lifecycle
- Manages and conducts independent assessments and testing of process and control design
The department has approximately 350 professionals with representation in New York, London, Bengaluru, Tokyo, Hong Kong, Singapore, Irving and Seoul.
MRMA Governance is a newly established governance function within MRMA. It is responsible for
- Managing regulatory interactions, and set piece communication with internal and external parties;
- Managing the department’s operating risks including operations risk, compliance and regulatory risk, operational risk, and model risk;
- Designing, operating, and reporting on all aspects of its governance framework, including development of governance templates, standards, guidelines, and tracking of key performance indicators,
- Designing, operating, and reporting on all aspects of its internal control and self-assessment framework, including a process verification framework that measures and monitors process and control design effectiveness;
- Maintaining inventories and assessments of models, measures, and policy/regulatory obligations; and
- Providing risk oversight of MRMA and reporting to senior management, increasing transparency of risks and influencing decision making and prioritization
The department works closely with all areas within MRMA and various groups across the firm including Controllers, Securities Division, Internal Audit, Technology, and the broader Risk organization.
- Centrally manage and provide oversight of market risk within the EU
- Set appropriate market risk limits to ensure the business strategy and activities are within the risk appetite within Europe
- Review proposals of new activities to assess market risk requirements
- Develop and maintain policies and procedures for monitoring market risk in the EU
- Prepare and submit reports for regulatory interaction and liase with EU regulators
- Manage regulatory interpretation for market risk within the E and ensure compliance with market risk related regulations
- Manage regulatory self-assessments and track associated gaps; implementation or remediation plans, including reviewing, interpreting, and providing guidance on the impact of pending requirements. Participate in regulatory working groups.
- Provide thought leadership to develop and institutionalize governance processes and enhance controls
- Liaise across relevant business, technology, and control functions to prioritize risks, challenge decisions, assumptions and tolerances, and drive appropriate risk response
- Communicate and escalate significant risks to management
- Drive a culture of risk management and mitigation. Deliver training on governance responsibilities
- Monitor internal and external business activities and regulatory environment to identify new or emerging risks
- Work closely with MRMA Governance in other regions to establish a framework for reporting regulatory risks
Skills / Expertise
- 10+ years of experience in quantitative risk management, operational risk, regulatory risk reporting, audit or compliance role
- Degree in a quantitative field such as engineering, mathematics, physics, or statistics a plus
- Programming skills and experience with an object oriented programming language such as Java or C++, to the level of performing pricing and building prototype risk analytics/productivity tools
- Fluent in German and English
- Interest in financial markets and risk management, motivated by learning and continuous improvement
- Ability to work independently, form own judgment/opinions, provide insights and drive change
- Proactive with strong analytical, organizational, and influencing skills
- Keen to learn new information, adopt new skills and with the ability to identify and make improvements to systems and processes.
- Strong interpersonal, written and verbal communications skills.
- Concern for accuracy, with good attention to detail.