Market Risk Methodology Specialist - Banking Book
- Salary:£80,000 - £85,000
- Location:London, England, United Kingdom
- Job Type:Permanent, Full time
- Company:Alexander Ash Consulting
- Updated on:19 Mar 18
Market Risk Methodology Specialist - VaR, Economic Capital. quantitative calculations , Banking Book, Portfolio Models
For this reputable investment bank we are looking for a Market Risk Methodology Specialist with strong understanding of VaR and Economic Capital. You will be joining Economic Capital (EC) team within Market Risk Management (MRM), which is responsible for managing market or fair value risk within the Bank. The primary objective of MRM is to ensure that Business units of the Bank optimise the risk-reward relationship and do not expose it to unacceptable losses.
The EC Team covers the development and maintenance of internal market risk measures for trading and non-trading (banking book) risks in the Bank. In turn, your measures will be used for risk management and the Bank’s Internal Capital Adequacy Assessment Process (ICAAP).
- Developing complex processes, framework and risk analysis, along with implementing improvements
- This is a stand-alone role, looking at enhancements of the control framework for the Banking Book.
- Implementing, enhancing and maintaining EC framework to measure market risks across the Bank, such as in trading and banking books, focusing on interest rate and Foreign Exchange (FX) risk in the bank book
- Driving the remediation of regulatory, external and internal findings against the market risk EC models and in line with assigned tasks
- It will also cover new models, where there could be innovation and looking at on-going enhancements,
Skills & Qualifications:
- Educated to Bachelor’s degree level (Business Administration, Economics and/or Mathematics would be beneficial) or equivalent qualification
- Strong experience in a financial markets role, with market risk management experience being particularly advantageous
- Excellent knowledge of both theoretical and practical aspects of quantitative finance and quantitative risk management
- Cross asset class knowledge would be useful, but particular knowledge of the Banking Book for Rates & Credit (Fixed Income) would be useful. However, Portfolio Models going across asset class would be good also
- Extensive analytical skills, including a proficiency with mathematical statistics, financial mathematics and derivative pricing
- Programming Skills