Enterprise Risk Management - Risk Appetite Specialist

Covers Rates Activities

Duty 1: Acting as a Market Risk Associate (Assisting in daily market risk analysis and reporting, including generation of daily limit reports and analysis of VaR, Stress Test and other market risk exposures):• Hands-on coordination of the group responsible for the daily monitoring of risk metrics, and limit usages produced for all SGCIB America’s business lines• Participating as a key person in the VaR back-testing process, investigating and explaining breaches on the US perimeter as well as organizing weekly and quarterly meeting with different departments• Providing support and information for various auditors and regulators (FED & NFA)• Improving market risk analysis which includes:a. Understanding of the portfolios and their compositionb. Risk analytics (VaR, Stress Test, SVaR, Sensitivities, P&L Income Attributions)c. Identifying the flow of current risk system and proposing action plans Duty 2: Acting as a Developer (Develop and re-engineer analytic tools and reporting macros using Python, VBA, SQL, MS PowerBi):• Proposing, developing and implementing tools to better analyze and track the day-to-day fluctuations of the risk usage reports, in accordance to global guidelines • Supporting and understanding desk use of Tactical Databases and migration to global tools• Formalizing and updating procedures and related controls for current tools and onboarding new tools• Developing, maintaining, and producing daily/weekly/monthly KPIs (Key performance Indicators)

• Developed for the Option Prime trading system for all exchange listed and OTC derivatives instruments based on ASP.NET MVC (C#, MS SQL and JavaScript)• Coordinated with database administrators in designing and implementing a source control tool for managing views, functions, and stored procedures in the database of the Option Prime• Managed indexing and debugging for the sensitivity reports with invalid data at expiration dates• Fixed market data discovery process for the particular contracts that having unique settlement date• Devised user interface for all market reports in order to make the Option Prime more user-friendly• Added new powerful features to allow traders to have more intuitive view of potential market risk

• Conducted fundamental analysis for the grains commodities markets by analyzing supply and demand variables through government reports, Reuters news, and private industry data • Collaborated closely with senior option traders to discuss hedging methodologies and to monitor and calculate option Greeks for Sensitivity Risk Analysis• Constructed Risk Analysis using VBA Macro and built data source connection with SQL• Implemented momentum strategy to identify commodity futures price’s trend and direction• Assisted operations with trading, trade confirmation, margin calls and settlements• Translated Reuters news and daily market comment from English to Mandarin for clients in China

• Conducted open interests analysis on grains future contracts based on the daily report data from exchange to track and interpret the collective behavior of market participants • Worked directly with senior portfolio manager in implementing portfolio strategies across different types of assets based on client’s Risk Aversion Level• Provided Risk Mitigation and Margin Enhancement strategies for clients• Constructed VBA model to monitor P&L of each position and entire portfolio• Built up Excel spreadsheets to collect Key Performance Indicators (KPI) data and evaluated performance