Fixed Income
il y a 5 jours
Job Title Fixed Income and CaLM Risk Team Lead Department Risk Reports To Head of Market Risk and Methodology Location LCH SA (Paris) JOB DESCRIPTION OVERALL FUNCTIONAL OBJECTIVES The objective is to oversee two risk managers and ensure the smooth and effective execution of several projects and functional responsibilities. The role will focus on the activities in RepoClear and EuroGC+ services as well as Collateral and Liquidity risk management activities (CaLRM). The role involves significant relationship with key internal/external stakeholder groups on a regular basis such as LCH CROs, Heads of Business, Head of First Line Risk, IT, Audit, Compliance and Regulators. The Team Lead is expected to establish clear objectives for the team and deliver a strong performance and leadership to the Fixed Income / CaLRM pole in order to: Maintain/develop Risk framework Monitor and report on the risk status of RepoClear and EuroGC+ relative to the Risk policies Risk Policy monitoring on CaLM risk scopes Involvement in transversal risk management duties. Involvement in Fixed Income and CaLM Risk change projects Provide oversight, support and challenge to 1st Line on how risks are managed within risk appetite Identify the emerging risks.
ResponsibilitiesTasks Margin Models Set policy requirements and standards; Ensure policies, procedures are compliant with regulatory environment; Review model performance and ensure 1st line remains compliant to the CCP standards; Evaluate model change requests; Ensure appropriate independent model validation processes are in place; Review outcomes. Pricing Models Back Testing & Performance Default Funds - Stress Testing Set policy requirements and standards; Ensure policies, procedures are compliant with regulatory environment; Ensure LCH has sufficient financial resources on an on-going basis including stressed periods; Ensure overall stress testing regimes are rigorous, adequate and well documented on an on-going basis; Ensure processes across services are harmonious, where differences exist ensure they have been appropriately challenged and justified. Default Funds - Sizing and allocation
Exposure Management Default Management Ensure market risk exposures are measured and managed within a coherent limit framework in compliance with LCH policies and procedures; Assess the aggregation of risks by risk type and product; Assess other risks (such as liquidity risk) that may not be captured in the margin models; Review Business line default management procedures and test the CCP DMG. Produce, analyse and control the reports needed to manage the Default process. Take part in the production of papers to be presented to Risk Governance, regulators and other committees. Ensure that permanent and operational controls are performed accurately and are reviewed regularly. Challenge the 1st line risk standards on transversal risk matters
CaLM Risk Management Monitor limits (on liquidity, investments, cover 2 ) risk policy breaches and incidents Produce 2nd line risk reports (back tests, reverse stress tests, MI pack ) and present results to risk committees. Contribute to model enhancement and closure of any model validation or regulators raised actions. Liaise with LCH Ltd 2nd line team on all topics related to collateral and liquidity risk management.
Risk Change Lead change from 2nd line Risk perspective; Ensure objectives are clear, agreed and sufficiently documented; Ensure Risk Governance is appropriately maintained; Ensure adequate project management processes are in place to avoid delays and unforeseen costs. Projects & Systems Identify areas where technology requires improvement and assist the business analysis and implementation of technology change; Assist in the origination and completion of business requirements, Take part in the projects sponsored by or having an impact on the CaLM Risk team Produce development requirements and take part in the testing of the deliveries. Design and program risk control reports Work in close interaction with business lines, CaLM and the operations department regarding risk controls and new product initiatives in order to anticipate risk issues, the need for new reports and new risk processes. Conduct functional and end user testing where appropriate.
New Product Approval (NPA) Set and review NPA criteria; Review market risk aspects of new product requests; Ensure requests meet NPA acceptability criteria; Invoke model working groups to evaluate quantitative methods; Provide guidance to business to ensure only acceptable requests are taken through governance; Assist Business and Compliance when Regulatory approval required.
Regulatory Radar Cascade the key areas of concern in Market Risk where LCH may be non-compliant with respect to future changes in the regulatory landscape; Work with Operational Risk teams to identify solutions and implement change to reduce inherent operation risk; Build strong working relationship with Compliance Department an
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