Risk Framework Officer (FTC 12 months)

Natixis NY Branch; City of London; On-site; GBP 60,000 - 80,000; Full time

Job summary

A leading financial institution in London is seeking a Risk Framework Officer to manage market risk data. This role involves daily analysis and certification of risk indicators and P&Ls, ensuring compliance with regulations. The ideal candidate has a quantitative background and strong knowledge of financial markets, especially derivatives for commodity assets. Proficiency in Excel, VBA, SQL, and attention to detail are crucial for success.

Qualifications

• Quantitative background in science, math or engineering is essential.
• Previous experience on IPV Commodity is a plus.
• Strong knowledge of financial markets is required.

Responsibilities

• Administer data for control and certification processes.
• Produce and report all risk indicators daily.
• Certify economic P&L and manage sign-off process.

Skills

Quantitative background in science, math or engineering

Knowledge of derivative products for commodity asset class

Excellent Excel skills

Experience with VBA and SQL

Good presentation and synthesis skills

Detail-oriented

Knowledge of Sophis Commodity

Job description

Reporting to the Head of Market Risk EMEA, the Risk Framework Officer is responsible for administrating the data on a consistent and secure way allowing for the appropriate control, quality checks, certification and delivery in official repositories. The RF analyst also monitor the Market Risk scope of action for ensuring the constant regulatory compliance (TB/BB, eligibility to IMA)and governing the relevant referentials along a clear governance.

Main Responsibilities

Controls, Certification and Analysis (“CCA”)

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;

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 Market Risk 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

Independent Price Verification – as back up only under exceptional circumstances

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).

Dynamic data – Provide back up to other team members as and when required

Collect and feed market data to FO calculation systems,

Control and validate market data on a regular basis,

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.

Required Skills/Qualifications/Experience

• A quantitative background in science, math or engineering
• Previous experience on IPV Commodity is a plus
• Financial market knowledge on derivative products for commodity asset class
• Excellent knowledge of Excel spreadsheets creation / maintenance, VBA and SQL
• Good presentation and synthesis skills
• Detailed oriented and ability to work independently with ability to communicate efficiently (orally and by writing)
• Knowledge of Sophis Commodity is a plus