Description
Role Purpose:
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.
- Maintain strong internal controls and a well controlled 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 controls 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 )
Role Context:
- 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 analyze 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)
- Candidate will be expected to work independently and will be expected to have the discipline to run all necessary daily processes to a consistently high standard.
ESSENTIAL TECHINAL EXPERIENCE REQUIRED
- 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, eg Product Control Front Office Quant
DESIRABLE TECHNICAL EXPERIENCE
- Broad knowledge of Global Capital Markets
- Broad knowledge of principals of hedging and derivatives trading strategies
- Experience with Summit, Spear, VA, Murex, Raven, Castor, and Tiger systems