Responsible for Market Risk Analysis focusing on Credit business, the role holder should:
- Ensure that accurate risk is reported against all limits set in the trader mandates.
- Maintain strong internal controls and a well controlled reporting environment.
- Work with other team members globally to expand best practices.
- Work closely with Market Risk Managers to provide analysis and support.
- Implement additional risk reporting and analysis in conjunction with Market Risk Management requirements.
- Ensure that production tasks are offshored where possible in line with strategy.
- Improve efficiency and effectiveness of controls to ensure that operational risk is minimized.
- Provide commentary and analysis on Regulatory Capital Charge inputs, including Stress Test and PRA requests
- Work with CTB team to ensure strategic systems rollout is delivered on schedule.
Work with RRA (Reg and Risk Analytics) to review the risk models (IRC, products pricing, curve calibration…)
- Rapidly changing business environment means continually changing and evolving client requirements. Role holder will need to be flexible and dynamic in order to meet requirements.
- Big changes to IT systems are being rolled out, requiring large-scale changes to MRA processes. Role holder will need to ensure their area is able to maintain controls of market risk in the face of constantly changing systems.
Role covers several product types (FX, Rates, Credit), requiring a deep understanding of the products and the risk factors involved. Role will require a comprehensive understanding of market risk.
- Candidate will be expected to have a strong understanding of Market Risk and a good understanding of the Market Risk Management and Control function and its role within the wider Group Risk context.
- An understanding of the Rates, Credit, Structured Credit Product business, IRC, Stress Testing and the accounting context is required.
- Candidate will be expected to be able to build ad-hoc queries using MS Access in order to extract and analyze data. They should also be able to design and build reports using MS Excel and VBA to a sufficiently professional standard.
- Candidate will have strong IT skills, (VBA, sql, Matlab, C++ are required)
- Candidate will be expected to work independently and will be expected to have the discipline to run all necessary daily processes to a consistently high standard.
- Ensure that risk for the desk is correct and is monitored against mandated limits.
- Ensure that adequate controls and reconciliations are maintained to ensure no operational losses occur.
- To set up some MI to analyse the market risk metrics
To understand and explain the main risks (VaR, sVaR, Stress test, DPRM, IRC,….).