Job Description
Manage Market, Liquidity & Counterparty Risk team in Japan. The Team is responsible for the following scope within RISK MFI Analysis & Decisions:
- Market Risk Analysis traded out of Japan. Main responsibilities are
- Business line leadership: Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate. Understanding the application of processes under the responsibility of other RISK MFI teams to the business line.
- Risk anticipation and detection: Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks; Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions; Escalation to RISK and business management.
- Risk control framework: Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.
- Counterparty Risk analysis for Japanese clients
- Review and analyze, from counterparty risk point of view, all transactions belonging to the following categories: Trades not adequately represented in risk systems or for which the Business needs support when risking them, Trades with counterparties already in excess, Trades that trigger an excess when simulated
- Analysis, monitoring and reporting of counterparty risk exposures on selected names or portfolios,
- Be the central point of contact for collateral within Japan
- Analysis & monitoring of Economic and Regulatory Measures – including Stress Testing – linked to Counterparty Credit Risk on the global scope of counterparties
- Contributing Responsibilities
- To contribute to define or approve a risk measurement framework, in particular official market and counterparty risk measurement methodologies used to compute Value-at-Risk (VaR), counterparty exposures, regulatory capital, as well as to define limits and control exposure
- To contribute to the local regulatory topics relevant to Global Market area as RISK; to contribute to the handling of regulatory inspection, a resolution of the recommendations, the regulatory reporting, and regulatory watch process.
- To assist and advise all levels of Management on risk-taking decisions:=
- Quantification and approval of market risk envelopes at all levels,
- Contribute as a “second pair of eyes” that market risks taken on by the Business Units align with Group’s policies and are compatible with its profitability and credit rating objectives,
- Provide specific information on complex or second order risks,
- Propose risk mitigation actions, if appropriate,
- Contribute to reporting of all risks in scope in a synthetic and comprehensive way to all levels of Management, appropriate committees and external parties
- To define and implement a framework for the monitoring and control of the aforementioned risks. In addition, RISK MFI will contribute to the compliance of all activities in its scope with relevant risk policies, as well as existing regulation and banking laws (in particular Volcker rule and French Banking Law). This will happen in liaison with other entities of the RISK function and other Group functions.
- To contribute to the valuation process and the valuation risk monitoring within the perimeter covered by RISK MFI, as outlined by the “Charter of Responsibility on Valuation Process” agreed between CIB, RISK Function and Group Finance. In addition, RISK MFI is in charge of defining the appropriate provisioning of the credit risk on Securitisation transactions.
Permanent Control Aspects
For all managers:
- Direct contribution to BNPP operational permanent control framework.
- Responsible for the implementation of operational permanent control policies and procedures in day- to-day business activities, such as Control Plan
- Responsible for ensuring team members to comply with regulatory requirements and internal guidelines.
- Responsible for reporting all incidents according to the Incident Management System
- Responsible for ensuring job descriptions are written, distributed and updated
- Ensure audit recommendations are resolved within the specific timeline.
Professional Qualifications / Candidate Profile
- Education: Master’s level in Business Administration, Finance, Economics or Engineering
- Experience: The candidate will be able to identify, analyse, and ensure proper qualitative and quantitative risk analysis in new traded instruments. Risks reviewed include market, counterparty, legal, regulatory, compliance risks and their convergence in the structures/products proposed by Global Markets activities
We are looking for a senior team member with market risk/structuring experience with good product knowledge in derivatives across various asset classes (FX/IR/Credit/EQD/Commodities)
- 10 years+ experienced analyst in Risk Management, particularly in counterparty risk and market risk field, with solid work experience in derivatives and/or structured products. There is flexibility to consider very strong candidates with less years of experience
- Understanding of corporate and financial institutions financing and balance sheet mechanisms
- Knowledge and experience in the analysis of highly complex transactions and structured products
- Some quantitative skills such as understanding of pricing or risk simulation would be much appreciated
- Knowledge and experience in liquidity risk, CVA, XVA etc. and other various regulatory capital topics would be an added advantage
- Languages: English (Japanese would be an added advantage but not a must)
Essential Technical Knowledge/Skills:
- Market risk knowledge in IR/FX, Credit Derivatives and/or Equities/Commodities
- Counterparty/credit risk understanding
- Good general derivative/primary markets product knowledge
- Ability to understand and analyse highly complex transactions and structured products
- Analytical skills, independent and detail oriented
- Organised, efficient and self-motivating
- Good interpersonal skills, able to deal efficiently and effectively with front office staff
- Team-player with common sense
- Working under pressure and deliver the task / project completed on time
- Knowledge of Risk Navigator and MRX a plus