Description
Market Risk Specialist
I am looking for a Market Risk Specialist for an immediate start - 6 Month Engagement. This role is for a boutique Consultancy.
Key skills
5+ years of strong market risk background (product and market knowledge and expertise)
Experience and knowledge of Prudent Value Adjustment (PVA) methodologies
Experience of price testing (MAP) and Fair Value Reserves (FVR) methodologies and calculations
Market risk experience covering Equity Derivatives and Interest Rate Derivatives
Implementation (hands-on experience) and regulatory experience
Assignment tasks
Perform a rapid review of the valuation adjustment framework including PVA/FVR/MAP
Identify areas for improvement, associated with materiality and priority metrics
Confirm plan and timeline of improvement works with RISK GM management
Contribute to improvement work on key priority areas
Ensure visibility and transparency of work progress and overall status
This role is related to the CRD/CRR IV regulations (at European level) and related requirements on the adjustments that firms need to apply to valuations.