Distinguished Speakers' Series

NHC DSS Review: Career Development in Market Risk

By October 20, 2019 No Comments

On October 9th, NHC Distinguished Speaker Series (DSS) was honoured to invite Dany Mizrab to share his experience and expertise regarding career development in Market Risk. Dany has graduated from Bristol University in the UK with a joint honour bachelor degree in Economics & Philosophy and he earned his master’s degree in Corporate & International Finance from the University of Durham (UK). Currently, he works as Managing Director of RBC Group Risk Management, Market & Counterparty Credit Risk, overseeing the Market Risk Management of Fixed Income & Currency, Counterparty Risk Trading, Treasury Services, and Central Funding Repo desks. Dany’s speech was composed of five sections, namely the introduction of professional experience, the key elements of Market Risk, the evaluation of Market Risk, the qualifications, and the Q&A session.

01 Introduction of professional experience
At the very start of the speech, Dany demonstrated his 20 years of work experience across three different continents including Europe, Australia, and Canada. Dany started his career in London with a start-up financial consultancy, Totem Market Valuations as a Business Manager. Lately, he joined a European Bank (Dresdner Kleinwort) working as a Credit Risk Analyst. In 2002, Dany took a break and had an independent travelling. In 2004, he migrated to Australia and began his career in Market Risk at UBS and later worked as a Credit Trader at ABN AMRO. Four years later, Dany migrated to Canada and in 2010, he joined RBC, Group Market Risk Management.
02 Key elements of Market Risk
Dany firstly introduced major market risk factors (i.e. Interest Rate, Greeks, Currency Rate, etc.) and risk measurements (i.e. VaR, cVaR, etc), emphasizing on the importance of data accuracy. He followingly discussed two risk analysis methods: stress testing (i.e. historical testing) and sensitivity analysis (i.e. PV01, DV01). As for the stress testing, how to choose the right time on historical testing can be critical. Also, relying on different prospects and objectives from risk management teams, Dany pointed out risk management in trading floor focuses more on local risks while as for the enterprise risk management, it works more on global portfolios.
03 The evaluation of Market Risk
Dany stated one of the biggest changes from 2008 to 2019 is the increasing importance of capital. In other words, liquidity and funding have provided the frameworks about how the banks operate. In addition, the connection between counterparty credit risks and market risks have been increasing, which reflects the greater exposures on market risks will bring more exposures to credit risks. Also, Dany mentioned in order to meet reporting requirements from FRTB, understanding of technology knowledge is important. For example, Artificial Intelligence (AI) will work into multiple functions in the near future, such as projecting potential changes from Monte Carols simulations, performing sensitivity analysis of portfolio, conducting regression analysis, etc.
04 The key qualification to work in Market Risk
Dany discussed the core hard skills in work are: be familiar with statistics distributions, understanding on risk measurements and sensitivity analysis, and strong technical skills such as VBA, SQL, Python. As for the soft skills, knowing how to separate noises and summarize the key results, understanding how to communicate with senior management within a clear and concise way, keeping strong curiosity on your responsibilities, and building trust and close relationship with traders are emphasized on in this role.
05 Q&A session
Dany firstly demonstrated how to effectively communicate with someone who may not have similar backgrounds and one typical approach is to start with basic concepts or simple terms by applying daily examples and then work with differences. Also, Dany explained the differences between Economic Capital (determined by the financial institutions) and Regulatory Capital (determined by the regulatory). Last but not least, Dany explained how risk managements add values and more engage with decision making is to build up trust and establish strong relationship management.Grant thanks to Dany Mizrab for providing those great insights! We’d also like to thank the audience for their active participation. We hope young professionals and new graduates who attended this session could benefit from this great learning and networking platform built by NHC Distinguished Speaker Series.  Please stay tuned. We will bring more high-quality events to you.The review is written by author: Paris Xu

Paris is an active volunteer at NHC, an eager learner of the financial industry landscape. Recently graduating from the University of Toronto, Rotman School of Management, Paris holds a Master’s degree in Financial Risk Management. Paris is actively seeking financial analysis position, especially in industry research, wholesale credit, and financial statement analysis.And thanks to the volunteers’ group for helping with the event: Joyce, Holly, Irene, Shirley, and Jiayi. 

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