Market & Liquidity Risk Analyst

Position Purpose

Within Market Risk Thailand, the risk analyst will focus primarily on the monitoring the bonds and derivatives positions (IRFX) and become an expert covering all aspect of market risk management such as market risk analysis and anticipation, new transactions and new activities analysis. In terms of product, IRFX linear product are at the core of the Thailand activities.

The candidate will also closely work with the market risk staff in Singapore, China, Korea and Taiwan monitoring flow / linear activities and running the BAU, to ensure high quality and consistent analysis are delivered across the platform.

The candidate will be in direct contact with FO trading and manage the relationship with Trading on a day to day basis. The candidate will have to be able to build a constructive relationship with traders while challenging them when needed.

Finally, the candidate will have the responsibility to look after Thailand ALM Treasury activity and monitor the liquidity risk. On top of daily limits, the candidate will actively participate in the Asset/Liability Committee of BNP Paribas Bangkok branch.

Direct Responsibilities

• Market risk limits:
  • Quantification of market risk limits, including regulatory, issuer and intraday limits, in line with the stated risk appetite.
• Detection, anticipation, analysis, monitoring and recommendation on all markets, valuation and issuer risks (including risk wide measures such as VAR, stress tests and capital) of the Global Business Lines, on both their trading and banking books:
  • Identify hidden risks and potential threats early, and perform in depth reviews with a view to recommend actions to mitigate them
  • Escalate to Management and Business Heads when relevant;
• Review and approval, from a market risk point of view, of those transactions, which are outside the scope of TET and PS&F.
• Valuation and IPV Process:
  • Definition of all marking methodologies
  • Monthly review of certain, illiquid, exotic and/or unobservable market parameters;
• Definition, calculation and regular review of Fair Value and Prudent Value Adjustments reserve methodologies
• VaR back testing & P&L explain:
  • Take all reasonable action to ensure requests from Calibration & Back-testing Team for comments on P&L and VaR related to VaR excesses is dealt with diligently (please refer to the P&L and back testing policy)
• Maintain strong knowledge of the valuation and VaR models, and their impact on capital, valuation and market risk sensitivities of the GBL’s portfolios. Ensure VaR figures and their variations are commensurate with the portfolio composition and can be explained.
• Implementation, in cooperation with Market Risk Transversal team, of the control plan on new banking regulations (ie French Banking Law/Volcker Rule).
• Responding on due time to local regulator requests on various market risk topics (stress tests, positions reporting…)
• Reviewing on regular basis the local market and liquidity risk procedures to make sure they describe properly the control framework in place.

Contributing Responsibilities

• Appropriate representation of market risk exposures in the official risk systems of the Group (with Risk Systems).
• Reporting: market risk exposure as well as associated measures (VaR, stress tests, capital measures,..) of the relevant GBL’s
• Definition of risk measurement methods: stress tests (committee responsibility), regulatory measures, VaR methodologies.
• Approval of amendments to trading mandates (for French Banking Law/Volcker Rule desks)
• Provide support to other RISK Function teams when GBLs’ Market Risk expertise is required. 

Permanent Control Aspects

• Direct contribution to BNPP operational permanent control framework.
• Contribute to the implementation of operational permanent control policies and procedures in day-to-day business activities, such as Control Plan
• Comply with regulatory requirements and internal guidelines
• Contribute to the reporting of all incidents according to the Incident Management System
• Ensure audit recommendations are resolved within the specific timeline.

• 5Y+ experience in Market Risks for flow derivatives: the candidate should have a solid quantitative background with ideally a previous experience in a quantitative environment through a technical role (e.g. through market risk, counterparty risk).
• Excellent knowledge of derivatives, structured products, ideally across multiple asset classes.
• Ability to react quickly and challenge but precisely in high pressure trading situations with Front Office interactions, and remain to have independent point of view.
• Strong interpersonal and communication skills (written and verbal) to further build the business / risk relationship and to clearly and concisely report the risk in a jargon-free way. 
• Ability to work in a team and interact with multiple stakeholders of different technical backgrounds
• The candidate should be able to efficiently prioritise work and show resourcefulness in order to meet deadlines, whilst having the ability to react to changing priorities as markets move.