Description
A Market Risk Analyst is required to develop and implement market risk methodologies, principally VaR, by analysis of VaR impacts and a detailed understanding of the model inputs.
The responsibilities will include:
- Working with Senior Risk Managers and Quants to develop VaR methodology improvements
- Performing analysis of methodology enhancements
- Review of model inputs and time series data
- Proactively developing solutions to negative aspects of model behaviour
- Detailed impact analysis and understanding the drivers for VaR
- Supporting requests for information from regulators and Front Office
- Completing regulatory impacts