The Market Risk 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 MR department is made up of the following groups:
- Market Risk Governance: The group is responsible for managing the department’s operational risk, model risk, and regulatory risk.
- Market Risk Assessment: 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.
- Market Risk Modeling: The group is responsible for the development and ongoing montoring of market risk models.
- Market Risk Specialists: 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.
- Market Risk Architecture: 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.
The department has approximately 350 professionals with representation in New York, London, Bengaluru, Tokyo, Hong Kong, Singapore, Irving and Seoul.
Market Risk Governance
MR Governance is a newly established governance function within MR. It is responsible for
- 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;
- Managing regulatory interactions, and set piece communication with internal and external parties;
- Maintaining inventories and assessments of models, measures, and policy/regulatory obligations; and
- Providing risk oversight of Market Risk and reporting to senior management, increasing transparency of risks and influencing decision making and prioritization
The department works closely with all areas within Market Risk and various groups across the firm including Controllers, Securities Division, Internal Audit, Technology, and the broader Risk organization.
- Lead execution of regulatory deliverables, exams, and overall engagement
- Manage regulatory interpretation and interact with Finance Division’s Regulatory Controllers and other stakeholdres to ensure the appropriateness of capital interpretations, methodologies and processes
- 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
- Present and interact with Regulators as part of the ongoing supervision process, regulatory examinations and other deliverables
- 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 MR Governance in other regions to establish a framework for reporting regulatory risks
Skills / Expertise
- 3+ 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
- 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.