Market Risk Management and Control I am looking for a market risk analyst with technical rather than vanilla reporting skills. You will be 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.
- 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.
- Provide commentary and analysis on Regulatory Capital Charge inputs, including Stress Test and PRA requests
- Work with RRA (Reg and Risk Analytics) to review the risk models (IRC, products pricing, curve calibration…)
- Maintain and improve quality and timeliness of data to Market Risk Management and other clients
- Work closely with RRA to improve the risk models
- 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.
- Role Context (The environment and operating conditions of the role including the extent of guidance and authority)
- 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 analyse 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)
- 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,….).
Observation of Internal Controls (Compliance Policy / FIM requirements)
- 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
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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