Market and Liquidity Risk Analyst

Main accountabilities

• Responsible for independent second level supervision and validation of the market risk management framework
• Responsible for independent second level supervision and validation of the liquidity risk management framework
• Responsible for independent second level supervision and validation of the forex and interest rate risk management framework for the banking book
• Contributes to strategic risk management processes including Risk Appetite Process
• Oversee activity and exposures to market risk for the framed activities of SG Asia, and provide the local and global management with sound analysis and reporting
• Analyze transactions and provide authorization according to the local and global framework
• Collaborate with the global projects or the global governance leads by RISQ Paris teams
• Define, in collaboration with the global team, measures and methodologies to assess market risks and counterparty risks while combining market and counterparty expertise
• Contribute to the definition of valorization methods of market transactions
• Contribute to the definition of internal regulatory model, including the analysis of the model outcomes
• Be vigilant on other types of risk.

Mission details

Market Risk Oversight:

• Provide a framework of limits/thresholds for the market risks on the framed perimeter        
• Define the appropriate metric to frame the activity
• Propose limits/thresholds coherent with SG group and SG Asia risk appetite
• Assess FO requests on limits/thresholds increase / decrease
• Review the framework on a regular basis
• Define measures and methodologies in coordination with Paris

Analyze transactions:

• Analyze transactions outside of FO delegation, in cooperation with the other RISQ/ASI department and/or with the global teams when necessary
• Assess the transaction and provide the assessment memo according to Market Risk standard
• Inform the global and local management when the transaction is in your delegation
• Present the assessment to the global and local management when the transaction is outside your delegation

Collaborate with the global projects or the global governance leads by RISQ RMA Paris teams:

• Contribute to the regular comments of the ASIA Market Risk Committee and participate or lead specific focuses for management reporting when requested
• Contribute or lead RiskCo or CoRisq when requested
• Participate to the Income Attribution process according to the policies and procedure
• Participate to the Internal models Backtesting and Analysis according to the policies and procedure
• Collaborate to any other local or global projects when requested

Liquidity Risk Oversight:

• Validate the liquidity risk framework, including limits and threshold, proposed by the first line of defense
• Validate the liquidity risk governance, proposed by the first line of defense
• Draft policies and procedure of the structural risk framework as second line of defense
• Understand and independently support the mechanics and assumptions behind all the liquidity stress scenario analysis and pro forma cash flow reports
• Independently monitor the liquidity risk profile of the institution in terms of cash flow
• Validates the adequacy of the liquidity steering vs. the Risk Appetite Statement
• Monitor, as a second line of defense, all the funding limits/threshold and checks their appropriateness (based on monitoring performed by Financial Division)
• Make sure that a remediation plan is implemented in case of limit/threshold breach
• Keep the CRO informed before all his meetings where liquidity could come up, with advisory role

Banking book structural risk (Forex and Interest rate) oversight:

• Validate the structural risk framework, including limits and threshold, proposed by the first line of defense
• Validate the structural risk governance, proposed by the first line of defense
• Draft policies and procedure of the structural risk framework as second line of defense
• Independently monitor, as a second line of defense, the structural risks of the institution 
• Validates the adequacy of the Forex and Interest rate risks steering vs. the Risk Appetite Statement
• Monitor, as a second line of defense, all the limits and checks they appropriateness (based on monitoring performed by Financial Division)
• Make sure that a remediation plan is implemented in case of limit/threshold breach
• Keep the CRO informed before all his meetings where structural risks could come up, with advisory role