Director, Counterparty Market Risk, Global Risk Management

Purpose

Provides managing margin sufficiency analysis for all trading counter parties and overseeing market risk for financing businesses including Prime Services, Collateral Management and Funding, and Credit Total Return Swaps.

The CMR team is responsible for identifying and assessing key market risks impacting counter party exposures. Utilizing analytics and customized tools, CMR provides a risk management overlay that highlights tail and concentration risks, leveraging market risk measures at the counter party level to challenge both the business and credit risk. The team effectively integrates inputs from credit and market risk teams to ensure comprehensive counter party risk assessment.

• Provide oversight of the portfolios from a margin sufficiency perspective and provide recommendations on margin adjustments where required.
• Partner with TFRM market risk officers and leverage their product and asset expertise to support the necessary counter party credit risk (CCR) oversight of the exposures.
• Supporting Risk Adjudication – Review of proposals (including customer transactions and the annual Business Review). Assessment of proposed structures, risk and reward measurements, determination of adequate margin levels, development and presentation of analyses and recommendations to the appropriate approval authorities. Attend Market Risk and Management Policy Committee (MRMPC) and Senior Credit Committee (SCC) to present and discuss proposals as required.
• Collaborating with Credit, TFRM, Market Risk Measurement, Technology, Back Office and Front Office teams, in ongoing enhancements of CCR risk measurement and monitoring, to ensure consistency in risk management approach and to achieve common objectives.
• Work closely with the Stress Testing team to develop a dynamic approach to stress testing to conclude the risks associated with market or geo‑political developments as required.
• Work closely with the Credit Officers to ensure they have a detailed understanding of the risks associated with their clients’ portfolios and develop a global Margin/Haircut framework for SFT and OTC businesses.
• Maintain communication lines with GAFE (Global Analytics and Financial Engineering) on model capabilities and elevate model deficiencies.
• Market Risk – Oversee market risk exposures for covered businesses and communicate to Senior Risk Management, Senior Trading Management and MRMPC on trading risks, trader sentiment and market conditions. Ensure adherence with Bank’s risk appetite and the business mandate. Review daily risk and limit reports and engage in discussions with the business as appropriate. Provide commentary to the Market Risk Management and Policy Committee (MRMPC) on limit overruns and corresponding remedial actions.
• New Product & Limit Adjudication – Review new product proposals and make recommendations to MRMPC on limit requests, including proposing new limits according to the Bank’s risk appetite.
• Partnership with the Business – Engage business stakeholders in a proactive manner to promote open communication between risk and trading. Escalate trading and credit issues and work effectively with senior trading management.
• Communication – Communicate regularly with TFRM senior management on trading activity, trading risk profile, trader sentiment and market developments in covered businesses. Collaborate with global TFRM teams to ensure there is consistency in risk management approach. Collaborate with other Bank and GRM stakeholders to achieve common objectives.
• Regulatory & Audit – Assist in interactions with regulators and participate in risk assessments performed by exchanges and clearing members. Participate in external and internal audits and coordinate resolution of findings.
• Valuation – Advise on appropriate valuation reserve adjustments in accordance with Bank’s policies. Recommend changes in valuation methodology as needed. Ensure independent price verification is performed in accordance with policies. Approve pricing sources for model valuation inputs and maintain valuation documents and governance documents for covered products.
• Technology – Participate in enhancement / upgrade of…