Market Risk Manager H/F

Les missions du poste

A propos de Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB)

Crédit Agricole CIB est la banque de financement et d'investissement du groupe Crédit Agricole, 10ème groupe bancaire mondial en taille de bilan 2021 (The Banker, juillet 2022).
Près de 8600 collaborateurs répartis dans plus de 30 implantations en Europe, Amériques, Asie-Pacifique, Moyen-Orient et Afrique du Nord, accompagnent les clients de la Banque dans la couverture de leurs besoins financiers à travers le monde.
Crédit Agricole CIB propose à ses clients grandes entreprises et institutionnels une gamme de produits et services dans les métiers de la banque de marchés, de la banque d'investissement, des financements structurés, de la banque commerciale et du commerce international.
Pionnier dans le domaine de la finance Climat, la Banque occupe aujourd'hui une position de leader sur ce segment avec une offre complète pour l'ensemble de ses clients.

La majorité des postes est éligible au télétravail dans les conditions prévues par notre accord reposant sur le double volontariat (collaborateur & manager) et après une période d'intégration réussie.
Crédit Agricole CIB s'engage en faveur de l'insertion des personnes en situation de handicap, ainsi ce poste est ouvert à toutes et à tous.

Pour plus d'information : www.ca-cib.fr

Twitter : https://twitter.com/ca_cib
LinkedIn : http:///company/credit-agricole-cib/
Daily Responsibilities :
Assist the Head of FC and FX options Risk Manager in the monitoring of Market Activity, the review of positions taken by the desk and communication to Senior Management :
- Daily review of market news and movement
- Daily review of positions taken and changes to the positions
- Daily review of the P&L analysis and risk reports produced by the Product Control Dept.
- Daily communication to senior business and risk management
- Monitor limits for FX and FX Options portfolio's and take action when necessary

Periodic Responsibilities :
Assist the Head of FX and FX options Risk Manager in the review of the risks taken by the business and the reward of taking these risks using current or new methodologies :
- Analyse risks taken by the business - positions, sensitivities and VaR figures, stress test results, both core and non-core risks (e.g. by testing the limits of the models used-calibrations etc)
- Seek other market views - risk takers from various desks, quantitative analysis
- Define the reserving policy for FX and FX Options businesses
- Review current risk reporting processes and highlight gaps/weaknesses in current coverage, measurement and/or methodologies
- Establish a regular risk forum for the FX and FX Options business lines to discuss the above
- Escalate critical risk to CRO/ Head of Market Risk
Assist the Head of FX and FX Options Risk Manager in ensuring that the market risk control environment complies with the regulatory requirements :
- Enhancement of VaR and stress test methodologies; new risk factors, improvement of historical data quality
- Analysis of the VaR back-testing
- Inclusion of new products in VaR and stress testing frameworks
- Compliance with French Banking Law

Change Management :
Challenge the status quo, promote change and coordinate transformation of methodologies, measurements & processes with business and support areas :
- Challenge :
- Current risk culture
- P&L reporting
- Price verification policy
- Reserving policy
- Pricing and sensitivity generation
- Risk consolidation
- Risk reporting
- Promote change within the business
- Focus on risk issues
- Transparency of core and non-core risks
- Limit setting, monitoring & reaction
- Promote change within the support areas
- Data management (Market and historical data management)
- Market Risk Engineering (new model & product approval)
- Project Management
- Back office (deal flow)
- Assist the Head of FX & FX Options Risk Manager in the co-ordination of change
- Drive the business to coordinate the process
- Maintain final sign-off authority (delegated by Global Head of DRM)