Financial Risks Officer (H/F) — Edmond de Rothschild

Full description

MAIN MISSION Attached to the Risks & Controls department, within the Financial Risks department, and under the responsibility of the Swiss Financial Risks Manager, you contribute to the monitoring, analysis and improvement of the Group's financial risk management systems. The department is responsible for both Risk Management and Risk Monitoring. As such, you control on the second line four risks mentioned in the Risk Policy of EdR Switzerland, EdR Switzerland Group and EdR Group.

1. Liquidity risk

• Support the qualitative aspect of liquidity risk, including endurance testing, second line liquidity risk control and intraday liquidity.
• Ensure periodic review of assumptions and documentation used in liquidity endurance tests.

1. Market risk

• Own accounts — trading portfolios: monitoring and respecting limits.
• IRRBB: calculate the rate risk on bank portfolios ("Banking Book").

1. Credit risk, excluding credit risk to private customers

• Counterparty risk: to monitor the credit risk of bank counterparties, cash correspondents and securities depositors. Monitoring of commitment calculations and periodic review of models used to establish net exposures.
• Risk of settlement-delivery and country risk: control the limits relating to transactions performed outside CLS or DVP, physical deliveries of gold and transactions carried out by independent asset managers (GFIs) under tripartite contracts.
• Own accounts — HTM and AFS investment portfolios: in coordination with the Treasury, Finance and Risk AM departments, follow the sets of limits of each portfolio according to their characteristics (obligatory, private equity, etc.) and ensure compliance.
• Borrowing values and haircuts: apply the borrowing value models for each financial instrument of client portfolios to determine the standard value of a portfolio in the context of a credit representation.

1. Climate risk

• Calculate the climatic endurance tests according to the risk factors defined by the Sustainable Officer on the Bank's own portfolios.

On these different risks, and according to the complementarity of your skills with those of the team, you can intervene either primarily or as a backup.

SECONDARY MISSIONS Common responsibility throughout the sector

Stress tests

• Maintain the documentation of the various endurance tests and ensure that they are appropriate for macroeconomic, regulatory or business developments.
• Develop tools or develop systems to calculate different endurance tests.
• Perform calculations for entities without the necessary tools.
• Prepare materials for restitution and analysis of the results of the various endurance tests.

Risk Monitoring and Risk Consolidation

• Conduct appropriate monitoring of limits according to the nature of the risks.
• Produce monitoring reports of the limits defined in the Risk Policy to the various bodies and committees.
• Develop and industrialize reporting and monitoring, including data consolidation, to make their production reliable and fluid.
• Analyze and trust the results: retrieve and verify the information generated by the entities of the Group in order to create consolidated views.
• Climb any overrun in accordance with existing processes.

Risk Management

• Challenge results and information from entities and develop risk analysis tools.
• Propose improvements in methods, metrics or indicators used by the department to measure risks.

Systems and projects

• Participate in non-regression testing campaigns during system developments.
• Conduct functional tests and consistency checks on the results produced.
• Maintain the test books.

ALM / CLIMATE ACTIVITIES / LTV Stress tests: rate, credit — investment portfolios, climate and liquidity

• Calculate endurance tests on liquid and illiquid investment portfolios.
• Calculate the liquidity endurance test, including the survival horizon.
• Maintain the intraday liquidity risk profile documentation and integrate the results into the liquidity test.
• Calculate and synthesize the climate endurance test on the bank portfolio.

Risk Monitoring and consolidation of rate, credit, climate and liquidity risks

• To monitor the sets of limits of investment portfolios in terms of exposure, diversification, etc.
• Monitor liquidity and maturity conversion limits.
• Monitor the bank portfolio rate limits.

Regulatory reporting : IRRBB

• Produce IRRBB regulatory reports.
• Implement and update the reporting control.
• Adapt this system to regulatory and business developments.

Application of models : LTV

• Determine and control, on the basis of existing models, the LTVs applicable to the different classes of instruments: shares, funds, structured products, etc.
• Contribute to the maintenance of the internal LTV management tool.
• Participate in test phases during model evolutions.

MARKET AND COUNTERPARTY ACTIVITIES Stress tests markets and counterparties

• Calculate endurance tests on trading wallets.
• Calculate the counterpart risk endurance test.

Risk Monitoring of market and counterparty risks

• Monitor the limits of trading portfolios.
• Ensure qualitative and quantitative monitoring of the various counterparties used by the Group.
• Calculate the net exposures of each counterparty.
• Monitoring country and settlement risks.

Regulatory reporting: ARIS, LER and equity for market risk

• Produce ARIS and LER regulatory reports as well as capital requirements for market risk cover.
• Implement and update the reporting control mechanism.
• Adapt these devices to regulatory and business developments.

Application of models : margining

• Check the proper application of the derivatives margin policy in the Bank's systems.
• Verify that net exposures are properly calculated.

RECOGNIZED PROFILE

• Be a graduate of a business or engineering school, with a specialization in finance or economics, awarded by a recognized Swiss or foreign university.
• Justify at least 7 years of experience in a Risk or Treasury function, with a dominant ALM being a major asset.
• Have an indispensable knowledge of Swiss regulatory reporting and ratios, including IRRBB, liquidity and solvency.
• A knowledge of the European framework, in particular ICAAP and ILAAP, is appreciated.
• Fully master conventional financial instruments, including funds, shares and bonds, as well as common derivatives on all asset classes.
• Master a programming language such as Python, SQL or VBA, as well as Power BI.
• Know the software of the ALM, such as Ambit Focus, and regulatory tools, such as Fire.
• Have a very good level of French and English, both oral and written.
• Demonstrate an analytical mind, rigour, pragmatism and a real team spirit.

Without news from us within a month, you may consider that your candidacy has not been successful.