Our client, a bank-insurer, is looking for a Head of Market Risk to take over the Financial Market Risk Team. The new recruit will manage a team of 8 members. He/She will coordinate, supervise and guide the team in its activities, both from a technical and organisational point of view.
The team is mainly project-oriented, focusing on two areas in particular: market risk analysis and valuation risk. It conducts projects to identify and measure these risks, limit or mitigate them and calculate the corresponding capital requirements. The team also acts as a competence centre and can be assigned to various projects that may be related to, for instance, hedge accounting, margin requirements, case studies, analysis of profit and loss explanations, model governance, and much more.
Regarding market risk, the team is responsible for:
- The identification of significant sources of market risk and their analysis.
- The methodology (and tool) for the calculation of the Market Risk Capital Charge, including the choices of the internal model approach and/or the standardised approach under the forthcoming FRTB regulation.
- The methodology for internal calculations of the exposure value.
- Methodologies and tools related to internal market and reverse stress testing.
- Analysis of capital requirements to provide valuable information on the return on equity of different products linked to the arbitrage book.
- Proposing a risk framework, including the calibration of Greek limits based on the bank's risk appetite.
- Analysing new products or exits proposed by the dealing room and their implication for market (including XVA), credit and/or counterparty liquidity risks, as well as their capital consumption or any other element deemed relevant in order to provide a risk opinion for the approval process.
- Questioning and/or proposing hedging strategies.
Regarding valuation risk, the team is responsible for:
- The maintenance of the financial market governance model.
- The identification of significant sources of valuation uncertainty.
- The methodology for the independent verification of pricing and other controls related to the pricing of financial instruments measured at fair value.
- The methodology used to determine the IFRS level hierarchy.
- The methodology used to quantify fair value adjustments (market price uncertainty, model risk).
- The methodology and tool used for the conservative assessment of capital requirements.
- The methodologies and tools used to calibrate complex market data (volatilities, correlations, ...) not provided by the Front Office.
- The methods and tools used to price credit derivative transactions.
- The organisation of the Financial Market Fair Value committee where valuation and validation decisions are discussed with the Accounting, ALM, Front Office, Validation and other teams concerned with market risks.
In this context, the new recruit's responsibilities will be the following:
- Act as a coach, an inspirer and a challenger, be responsible for organising the team and setting objectives to ensure that the various projects are completed.
- Take ultimate responsibility for the results of your team.
- Manage a wide range of financial market risk projects and influence market risk frameworks and methodological developments.
- Develop and implement market risk strategy to ensure regulatory compliance (governance, choice between capital consumption methodologies...)
- Communicate complex methodologies and approaches to senior management and other stakeholders.
- Defend Belfius' market risk position regarding the external auditor and/or supervisory teams.
- Ensure consistency and integrity when establishing frameworks, methodologies, and processes. Ensure that they are defined in accordance with the Bank's risk appetite framework.
- Monitor regulatory developments to ensure timely regulatory compliance and market best practices to improve methodologies and organisation.
- Actively participate in the various committees related to the Market Risk activity and participate in the approval of new products and/or limits.
- Master's degree in Actuarial Science, Civil Engineering, Finance, Business or equivalent.
- 5 to 10 years of professional experience in an arbitration environment and experience in risk functions.
- Proven experience in leading projects and managing people.
- Experience in designing and implementing new organisations, processes, and systems.
- Excellent knowledge of financial markets, risk management techniques and regulatory requirements, with a particular focus on derivatives.
- Strong quantitative skills, including good knowledge of derivatives pricing and underlying assumption.
- Good communication skills (written and oral).
- Excellent interpersonal skills and ability to work in a collaborative environment.
- Decision-making and problem-solving skills with a strong sense of initiative.
- Fluency in French and/or Dutch, and at least a very good passive knowledge of the second national language.
- Good knowledge of English.