Market Risk Analyst - Fixed Income, AVP

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Morgan McKinley
  • 11 Jan 19

Global investment bank seeks AVP level Market risk Analyst covering Rates and Credit business.

Key responsibilities:

  • Ensure that accurate risk is reported against all limits set in the trader mandates.
  • Maintain strong internal analysis and a well analysed 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 analysis 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…)

Key skills

  • Thorough understanding of risk management, Value at Risk, sVaR, PVBP, RWA and Stress Testing
  • Deep Understanding of IRC notion
  • Understand key risk factors for Credit, IR products and how they are measured.
  • Thorough understanding of the Market risk function.
  • Ability to design and implement normalized databases.
  • Advanced knowledge of VBA, SQL , Matlab, C++
  • Knowledge of Bloomberg and Summit
  • Experience of related banking areas, e.g. Product Analysis Front Office Quant

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.