Poste et missions

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, Sensitivities, Risk Indicators: VaR, sVaR, Stress Tests, SRAB/ Volker indicators) on a daily basis; focusing on daily variations as well as intraday moves.
• Communicating with Front Office and Risk Management in case of limits breaches and loss alerts. Day-to-day interaction with trading operators;
  
  • Producing and certifying daily P&Ls (including inter alia Economic P&L, Actual P&L, Hypothetical P&L, Risk Theoretical P&L); Analysing and explaining the daily/weekly P&Ls variations;
• 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 CCA, XVA and managing their analytical allocation to the business lines;
• Reporting of the economic P&L to the relevant departments and stakeholders within Natixis and BPCE;
• Producing dashboards for Senior Management (to be validated and communicated by Risk Management or the Head of Market and Counterpafrty Risk Europe) 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
• Contributing to the New Product New Activity Committee for any related matters in connection with the Risk Monitoring Teams.

Independent Price Verification - as back up only under exceptional circumstances

Market data

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)

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
• Determination as to whether pricing parameters are 'observable' for combinations of underlyings and payoffs
• A quantitative background in science, math or engineering
• Previous experience on Commodities is a plus
• Financial market knowledge on derivative products
• 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 effectively (orally and by writing)

Profil et compétences requises

Reporting to the Head of Market Risk Europe, 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.