Associate or VP Market Risk Officer

Natixis UK
London, United Kingdom
22 Mar 2023
30 Mar 2023
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Welcome to Natixis

At Natixis, we create tailor-made solutions in Asset & Wealth management, Corporate and Investment banking, Insurance, and payments, with over 12,000 staff members in 35 countries .

At Natixis, you have a great opportunity to join an entrepreneurial, agile and growing organisation, and to be part of an inspiring team. We offer a competitive remuneration package and generous total reward package and as an inclusive employer, we are also open to considering flexible working arrangements. We continuously work to create an environment that promotes diversity and inclusion in all its forms, across gender, race, religion, sexual orientation, disability, ethnicity and background. We believe this creates equal opportunities for our employees - and better outcomes for our clients and communities.

We are committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruitment process. Learn more

Main missions are:

Sandbox monitoring
  • Ensuring at any point in time, for Market Risk ecosystem, the appropriate exhaustive, consistent and up-to-date vision of its bounds. This includes in particular monitoring of the IMA/SA perimeters, the list of portfolios falling in the Trading book and the Banking book, the scope of responsibilities of Market Risk with regards to its various duties (monitoring of risks, P&L production/certification, scope of application of existing SLAs - notably BPCE; CC production and analysis, etc...).
  • Maintaining the Methodological guide defining all risk indicators as well as centralising the official list of risk factors as defined in FRTB (including the list of MRF/NMRFs)
  • Defining, centralising and analysing the outputs from Risk Monitoring and Liquidity & Advisory Group on the Trading/Banking frontier. This includes the qualitative monitoring and reporting of the IRT desk(s), and liaising with the Financial Division on this matter.

  • Administration of all repositories for which Market Risk leads the governance
  • Liaising with the Data Office for the global follow up of repositories
  • Definition and monitoring of all stakeholders, feeders and clients interactions on the related repositories
  • Production and reporting of the data quality KPIs defined on the related repositories
  • Liaising with London Marpl team members for the Book Manager/Book transfer workflow
  • Piloting the feeding process and mapping updates for the core Market Risk repositories (MDM, Risk Factors, Risk Sensitivities, Susanoo, etc...)
  • Overseeing the updates of the IMA/SA, TB/BB, SRAB/Volker/FRTB Desks cartographies in Market Risk's referentials

Data quality
  • Operating the data quality control of BOP ("Base des OpĂ©rations")
  • Responsible for the methodology and the consistency of the data quality control applied on Market Risk ' scope
  • Performance monitoring for data quality and data availability through relevant KPIs
  • Communication related to data quality and controls that are still to be implemented or to necessary amendments
  • Contributing to the bi-monthly " Data Quality " committees
  • Ensuring the data quality related CPN1 controls for the department and follow up of the action plan associated

Main missions include
  • the review of the Risk factors used for the VaR computations;
  • various production (daily/weekly/monthly) processes in the context of the MC VaR, Historical VaR, RIM and related controls, updates and reportings;
  • ensuring Market Risk Factors relevance and efficiency in terms of Market Risk analysis with appropriate reporting and alerts;
  • the review of Risk Factors for CVA VaR and RIM computations;
  • the reports / proposals to the Risk Factor Committee:
    • the validation of new risk factors, along with prioritizing topics and expected studies;
    • the review of existing risk factors, their approval / amendment or deletion;
    • the follow up of previous approved resolutions and due documentation
    • the review of various studies in connection with risk factors

Independent Price Verification

Market data
Main mission is to ensure that market data controls are:
  • effective (control rules are customized and performed dynamically),
  • automated (implemented in "MDM" and "You Price") and
  • documented (data is certified, auditable and procedures available).

Static data
  • Creation: set up instruments (bonds, equities, options, futures, EMTN...),
  • Amendment, parameterization, corporate actions monitoring: keep data up-to-date all along its trading cycle, keep instruments up-to-date, verify cash-flows and schedules in FO tools based on settlements (match the flows received/paid by BackOffice),
  • Manage market data structures / containers in FO tools,
  • Market data parameters like fixings, pool factors, ...
  • Other information like calendars or linking instrument to third parties

Dynamic data
  • Collect and feed market data to FO calculation systems,
  • Control and validate market data on a regular basis,
  • Report relevant information about market data (including escalation if necessary),
  • Amend or update market data if necessary,
  • Follow up coverage of market data.

Valuation & Observability
  • Guaranteeing the marking and the complete review of parameters implied from Totem prices consensus or other market prices and defining the guidelines and best practices for the exposures to be covered,
  • Overseeing the completeness of the valuation processes (exposures vs pay-offs and models and associated risks, completeness of the Observability / Fair Value framework -P&L attribution, reserves, AVA; and quality of marking - IPV, observability);
  • Taking part in the implementation of the regulatory requirements accordingly to the valuations methodologies (xVA, Prudent Valuation, IFRS9, FRTB...) monitored by ERM;
  • Participating to ensuring adequacy of the valuation framework: governance, respect of the applicable Policies, procedures and escalation processes.
  • Contributing to the New Product New Activity Committee for any related matters in connection with the Risk Monitoring Teams.

Contribute to important transverse duties at the Data Piloting Center level including:
  • The leadership of all market data initiatives inside the FRTB Project
  • Global transversal view of the data general monitoring and control set up for Market Risk

Controls, Certification and Analysis ("CCA") as a back up
Main missions are:
  • Producing and reporting of all indicators - including as a first priority those specified in Risk Mandates (qualitative indicators such as authorized products, currencies and quantitative limits such as Notionals, FxWeightedRisk, Sensitivities, Risk Indicators: VaR, sVaR, Stress Tests, IRC, RIM and SRAB/ Volker indicators) on a daily basis;
  • Controlling, analysing and certifying all the indicators mentioned above focusing on daily variations as well as intraday moves in respect of the corresponding set of limits;
  • Communicating with BLs and FRM in case of limits breaches and loss alerts. Day-to-day interaction with trading operators;
  • Producing P&Ls (including inter alia Economic P&L, Actual P&L, Hypothetical P&L, Risk Theoretical P&L);
  • Certifying the daily economic P&L and ensure its audit trail, certifying the actual, hypothetical and risk theoretical daily P&Ls, analysing and explaining the daily/weekly P&Ls variations;
  • Consolidating and certifying the Income Attribution
  • Managing the P&L sign-off process by Front Office;
  • Producing regulatory VaR & RIM Backtesting components and exception reports;
  • Computing the market risk reserves and reporting their variation on a monthly basis;
  • Computing the Day one for the new "unobservable" transactions (due to non-observable parameters/model) and the amortization of Day One stock;
  • Certifying the XVAs and managing their analytical allocation to the business lines;
  • Producing and controlling the Client Contribution on Market Risk' scope of action;
  • Producing and control the SRAB and " Volcker " indicators under Market Risk's responsibility
  • Reporting of the economic P&L to the relevant departments and stakeholders within Natixis and BPCE;
  • Interacting with Finance on cost of risk, Eco/Accounting gaps, Fx position desks management, cost impacts on businesses, MTM on products with accrued IFRS P&L, quarterly closing of accounts components ;
  • Producing dashboards for Senior Management (to be validated and communicated by the FRM or the Head of Marpl EMEA) on a daily, weekly and monthly basis;
  • Consolidating all Risk Reports on Natixis UK and consolidated desks levels on a daily, weekly and monthly basis. First level analysis, limit consumption control.
  • Preparing the relevant portion of support document for the head office Market Risk Committees and the EMEA Market Risk Committees
  • Maintaining up to date referentials mapping (e.g. Homologated books / non homologated books).:consistency checks between daily processes and referentials;

* Good knowledge and understanding of Market Risk principles
* Focussed on strong work ethic (taking responsibility, strong integrity, accountability and remain professional at all times)
* Good Excel skills
* Inquisitive mind and thinks "outside the box"
* Problem solver and has a solutions based approach to issues
* Industrious and dedicated
* Focussed on producing accurate and high quality work
* Works in partnership with colleagues and the business
* Excellent communication skills (be able to articulate rationales)
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