Market Risk Manager, Crypto Asset Trading

Job Summary

• Singapore
• Permanent
• BBBH821667
• Jul 07, 2022
• Competitive

Job Description
Morgan McKinley is working in partnership with a Crypto Asset Trading firm which provide investors with bespoke access to new market opportunities.

The team is hiring a Market Risk Manager of which the role will be to manage the risk team, develop risk models and monitor risk limits for both internal and regulatory use.

Role and responsibilities

• Propose a market risk framework for the management of market risks.
• Develop risk models for quantifying the firm's overall risk exposure on the market making books, as well as the various quantitative and discretionary prop books.
• Ensure relevant risk measures, controls and processes are in place, and to run a daily monitoring and reporting process to stakeholders.
• Ensure that risk decisions are transparent and supporting rationales are explained in a professional courteous manner, especially when turning down proposals.
• Responsible for regular or ad-hoc market risk activities reports / information / analysis to management.
• Support new product approval process through market risk identification, risk measurement, limits setting and monitoring for breaches.
• Full autonomy in controlling market risk within the firm and making recommendations to management on trading limits and stop losses for trading desks
• Ensure that the market risk framework for the management of market risks is appropriately and consistently applied.
• Ensure that market risks are properly assessed and that risk/return decisions are made transparently on the basis of this proper assessment, and risks are controlled in accordance with the risk appetite and thresholds.
• Ensure that traded risk measurement methodologies are fit-for-purpose, comprehensive and implemented with integrity.
• Review, recommend, discuss, and analyse traded market risk data and other financial product information, pertaining to cryptocurrencies spot and derivative trading, with a view of setting risk parameters to protect the firm from catastrophic losses.
• Design and oversee the implementation of relevant stress tests and scenario analysis for the desks.
• Understand the various positions taken the firm and do a real-time monitoring of the VaR, CVaR, and stress tests for all trading desks.
• Identify and report material risks to the management and challenge the businesses with evidence that the material risks arising from their business activities have been identified, assessed, monitored, and reported.
• Create transparency and escalate in a timely manner to relevant stakeholders regarding the key exposures in the various blockchain layers.
• Identify and escalate new and emerging risks that could be material to the business. Recommend relevant controls to manage these emerging risks to avoid big losses.
• Monitor internal and external events material to the firm and ensure appropriate management action is being taken to mitigate their impact.
• Monitor client accounts and positions for breaches of any terms or margins offered

Key requirements

• Experienced market risk manager with in-depth knowledge and understanding of options and FX/interest rate derivative.
• Basic coding experience in Python/R for prototyping risk models.
• Deep interest in crypto and basic understanding of protocols/mechanisms in the various DeFi sectors - including but not limited to option vaults, borrowing/lending, Automated Market Making, etc.
• Understanding of the mechanics of the crypto derivatives market - including the perpetual futures market, term futures market and options markets
• Keen to learn more about the various cryptocurrencies and their idiosyncrasies.
• Comfortable working in a start-up culture with a flat structure and open working concept

Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as notification that you have not been shortlisted.

Morgan McKinley Pte Ltd, EA License No: 11C5502

Lee Boon Hou (Hagen), Registration No: R1870932

hlee@morganmckinley.com