Derivative Risk Manager

Derivative Risk Manager (Market, Capital, Liquidity)

Ebury London Victoria - 4 days in the office & 1 day working from home 

As a Derivative Risk Manager who will play a key role in Ebury’s Derivatives team, focusing on the development, implementation, and monitoring of market risk models (PfE) that support capital consumption, liquidity risk assessment, exposure management, and stress testing for complex FX products. 

This position requires a candidate with strong analytical skills, risk expertise, and experience in FX and derivatives to support effective risk mitigation and contribute to informed decision-making. The Manager will need to work with Treasury, Credit, Front office, and Regulatory Finance colleagues to design and implement these models successfully. 

What we’re looking for:

Stress Testing and Scenario Analysis

Design and implement stress-test models to assess capital consumption under various scenarios, simulating potential market shifts, client non-payment scenarios, and fluctuations in bank hedge margin requirements

Liquidity and Exposure Management

Develop tools to measure liquidity risks associated with margin mismatches between clients and banks, focusing on daily monitoring and alerting for risk exposures that could impact cash flow or capital requirements.

Capital Impact 

Develop tools to measure the capital requirements of single trades and the portfolio, focusing on setting standards and monitoring for risk exposures that could impact capital requirements.

PfE Modeling

Calculate potential future exposure (PfE), and other risk measures to assess market risk hedging and client positions and potential impacts. 

Pricing 

Develop, implement and monitor pricing guidelines incorporating liquidity, capital requirements, and credit costs for complex FX products.

Portfolio Analysis and Risk Assessment

Evaluate new trades and product proposals, conducting detailed impact assessments in the context of the existing portfolio and risk appetite framework. Collaborate with the business to optimize trades within risk constraints.

Reporting and Monitoring

Produce regular risk reports for senior management, detailing exposure metrics, and stress test results. Escalate any breaches of internal risk thresholds and contribute to risk review meetings

Monitoring Ebury risk exposures vs. established limits, investigating risk events, producing related MI reports and escalating breaches to the appropriate committee

Knowledge and Experience

• 3-10 years of experience in market, liquidity, credit, and capital risk or a related role in the financial services sector, with a focus on FX and derivatives.
• Knowledge and experience of liquidity risk issues and methodologies, balance sheet dynamics, capital requirements, and income statements
• Knowledge of MIFID, Payment Services Regulation is an advantage.
• An understanding of global financial markets
• An understanding of various stress testing methodologies along with practical experience with model development, implementation, and governance

Skills:

• Proficient in market risk methodologies including potential future exposure (PfE), and stress testing.
• Strong understanding of FX options, derivatives, and market dynamics in FX.
• Familiarity with risk measurement tools and software (e.g., Bloomberg, Reuters, ICE, or proprietary risk systems).

Education:

BSc, BA, or higher. Professional qualifications such as CFA or equivalent are advantageous

Languages:

English