London, England, United Kingdom
Responsible for monitoring the risk of the FX/PM Options activity (G10 EM and PM flow, and single/multicurrency exotics) within UBS’s risk appetite framework. Responsible for trades approval requests and temporary limit extensions for FX Options. VaR/SVaR/Stress scenarios, and FRTB metrics monitoring. Regular review of the FX limit set. Constant improvement of the risk framework : streamlining of trade approvals, adding granularity and customize our risk views. Market Risk input on new initiatives (model improvements, new business)
• Responsible for monitoring of sensitivities and P&L of Cross Asset, Long Term FX and Structured Rates activities, notification/analysis of breaches; analysis of the positions/sensitivities and analysis of the various stress scenarios. • Communication on risk indicators, valuation models and business orientations with Front Office and Model Validation teams. • Constant improvement and refining of risk framework, in an environment introducing regularily new payoffs/underlyings - analysis on potential new transactions on regular basis • Limit set management and review • Monthly computation and analysis of Bid/Ask and Model reserves. • Collateral discrepancies analysis. • Analysis on VaR and stressed VaR.
• Daily analysis and explanation by sensitivities of the P&L, VaR, risks and stress scenarios on Equity Derivatives businesses. • Monthly analysis of Markit’s TOTEM marking of GED position. • Management of back-ups for the whole team (14 people) • Controlled the booking (payoffs and parameters) of the Equity and Fund Derivatives products in books (CPPI Options, Autocalls, ESOPs, Vol-capped options…) • Monthly computation and analysis of Bid/Ask reserves and specific reserves on Fund Derivatives. • Monthly analysis of Day-one P&L on Global Equity Derivatives Perimeter.
Monitored Certificates and Equity Swaps issuing activities in Asia. Analysed on a daily basis sensitivities (delta, correlation) of Calyon's Exotic Interest Rates Products.
• Created a synthetic index regrouping non-liquid Asiatic stocks. • Worked on a VBA tool allowing to back-test the performances of the index on historical values. • Performed liquidity tests and worked on a proper asset and country allocation to build the index.