Global Markets, Portfolio Risk Manager

Contract to end March 2025

London/Hybrid

Day rate from £1000 via Umbrella Company

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My client is one of the largest financial institutions headquartered in Japan, with an established presence across all consumer and corporate banking businesses. Through its subsidiaries and affiliates, they offer a diverse range of financial services, including commercial banking, leasing, securities, credit card, consumer finance and other services.

They are looking for a Global Markets, Portfolio Risk Manager to join them at their offices in London, working Monday to Friday, being office based a minimum of 2-3 days a week, with the remainder of time working from home. The role is being offered with a contract to March 2025.

Purpose of the role:

The role will focus on building out a new London based team called Portfolio Analysis. Currently reliance for this function is on the New York based Portfolio Analysis team. Portfolio Analysis will be responsible for the daily update of market data, for example swap rates, spreads, vols, exchange prices etc, into the banks pricing system. The team will also be responsible for daily input, review, validation and reporting of trade valuation, P&L and risk. Besides these two major tasks, the team would be involved in other tasks related to P&L and risk of the derivatives portfolio.

The Team

The Derivative Products Group operates in London, Frankfurt, New York & Hong Kong and trades 24 hours each business day. The main activity of the Derivative Products Group is originating & trading interest rate & currency swaps & their related options. The London Group covers: the UK, Europe, the Middle East & Africa.

The bank is a derivative products dealer whose primary market focus is fixed income and currency derivatives. Their current product line includes:

• Interest rate swaps.
• Cross currency swaps.
• Caps and floors.
• FRA's.
• Interest rate options.
• Forward foreign exchange and FX options.

They also trade the following products (primarily for hedge purposes):

• Government securities (such as US Treasuries, Gilts, Bonds etc.).
• Repos and Reverse Repos.
• Financial futures and options on exchange.
• Spot foreign exchange.

This role sits within the Derivatives front-office at the bank and reports to the Head of London Trading Execution and Support team (LNTES). Due to growth in business activities, there is increased requirement for effective controls on BAU resulting in the need for a London based Portfolio Analysis team.

Daily duties include:

• Working closely with New York and London colleagues to setup new London based processes.
• Daily input of market parameters like swap rates, spreads, cap/floor and swaption vols, prices of exchange
• Traded securities of more than 25 currencies required for the daily valuation of the derivatives portfolio.
• Daily input of new trades into the banks system that should be included as a part of the revaluation of the derivatives portfolio.
• Ensure that all the market input parameters used for revaluation are maintained in the databases.
• Ensure trades and their full life cycle are recorded and posted correctly in the trading system.
• Preparation of various month-end reports for internal and external reporting
• Participate in projects on process and control improvements

Background and Skills:

• Ability to work effectively in a multi-regional team and consensus-driven decision making
• Knowledge of derivatives and other financial instruments
• Proficiency in Excel including working knowledge of advance functions and VBA
• Writing/documentation skills
• Python coding would be a benefit but not essential
• Prior experience of IPV/valuation risk
• A degree of flexibility is expected in working the hours that the business demands.
• Confidence to work on their own initiative, challenge the status quo and be innovative in seeking new ways of doing things and developing the business.

Candidates must show evidence of the above in their CV to be considered.

Please be advised if you haven't heard from us within 48 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you.

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