Job Description

Department Overview
The mission of RISK Global Markets (RISK GM) is to provide Senior Management of the Group, of the Operating Divisions, and of RISK with full transparency and dynamic analysis of the risks managed by CIB's Global Markets Units (GM). Specifically, RISK GM mandate is to provide Senior Management with a consolidated and dynamic view of the market, counterparty and liquidity risk profile of GM activities.
The scope of RISK GM is:
  • Maintain and deliver day to day risk management excellence and expertise
  • Develop further our capacity to anticipate on events, to innovate, to identify emerging risks and think out of the box
  • Contribute to the definition of the Group's risk appetite, its risk decision making process and the optimization of capital allocation to support the development of the Operating Divisions
  • Contribute, when suitable beyond our perimeter, to the success of the large projects of the Bank and the department, whether regulation oriented or not
  • Enable industrialization to increase efficiency
  • Interact in an efficient and benevolent way with our colleagues from the other streams and domain

Within RISK GM, the Transaction, Securities and Frameworks (TSF) team is the transversal team responsible for pre-trade analysis, being the prime interlocutor to structuring and marketing. Its mission is to focus specifically on new complex/structured transactions that have either new features or specificities that make them riskier such as wrong way risk, funding, modeling, counterparty risk or operational issues.

The team is representing RISK for most pre-trade approval committees (Transaction Approval Committees "TAC", Securitization Credit Committees "SCC", CIB underwriting committees (bond and equity underlying), The team is also in charge of representing RISK for new activity approvals ("NAC"). In the recent year, various activities involving new complex indices, new types of derivatives (hybrid or new format) or new types of risk (such as prepayment or basis risk) have been analyzed and coordinated by the TSF team.

In summary, the Transaction Securitisation and Frameworks (TSF) team is a transversal team responsible for the following:

  • Analysis of new activity and exceptional transaction approvals, primarily generated by the Global Markets business line, representing RISK in the TAC/NAC Validation Committees.
  • Credit review and delegation for securitisation activities, structured credit vehicles and other SPV counterparties, monitoring of the market risk for Primary & Securitisation
  • Representing the RISK Function in CIB underwriting activities (bond and equity underlying)
  • In charge of the Electronic Trading Platforms
  • Developing frameworks for risk management of Global Markets activities

Ø   Main responsibilities

l   Analyze and represent RISK GM in the decision process on complex / structured transaction, in particular:

-        Analysis of counterparty risk (PFE profiles, CSA mechanism, SPVs…), market risk (e.g. specific model, profit recognition or liquidity risk), waterfall structure analysis.

-        Those part of “convergence” areas: securitisation and structured credit vehicles (both credit analysis and delegation), asset financing (structured repo, equity financing…), underwriting/commitment committees.

-        Those intermingling credit and market risk in some way (e.g. where there is a strong correlation between counterparty risk and underlying market risk)

-        Those requiring understanding of legal aspects and regulatory environment, documentation issues, complex collateral, reputation and suitability issues.

-        Assess and synthesize risk profile/opinion on a given transaction in a holistic manner, provide a succinct yet sufficiently comprehensive written and verbal assessment of such risks.

l   Follow up of these transactions when they require specific analysis and decisions during their life

-        eg warehousing, liquidity lines…

l   Represent RISK GM in all Validation and Approval committees (Transaction, New Activity, Underwriting)

l   Responsible for the governance, and for selecting, prioritizing, planning, & validating Frameworks for RISK GM, acting as the point of contact of the Metiers & other RISK GM teams. RISK GM’s point of contact “by default” for all other transactions

l   Ensure strong communication and co-ordination within all RISK teams in order t

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