Market risk Market risk …

Morgan McKinley
in London, England, United Kingdom
Contract, Full time
Last application, 05 Apr 20
GBP250 - GBP350 per day
Morgan McKinley
in London, England, United Kingdom
Contract, Full time
Last application, 05 Apr 20
GBP250 - GBP350 per day
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)

TECHNICAL EXPERIENCE

  • 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.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

Close
Loading...