Description
Market Risk Business Analyst
My client a large regional bank in Amsterdam are currently recruiting for a Market Risk Business Analyst for a project until the end of 2014.
The goal of this Market Risk project to become fully compliant with the Internal Model Approach (IMA) for Market Risk.
A business analyst is required to assist in the delivery of one workstream:
Implementation Review Team. For the implementation of Internal Model Approach, model implementation reviews are conducted to ensure that Valuation Model and Risk Models are properly implemented in production environments. A business analyst is needed to perform the Model Implementation reviews and provide requirements and tests on fixes to be made.
Pre-requisite for this role, although stated as a BA role, is proven track record working in a Market Risk function (Market Risk Management, Market Risk Reporting, Market Risk Modelling, Market Data etc).
Required Business knowledge:
- Demonstrated experience in defining Risk frameworks, performing Risk model reviews that include recalculation of Risk measures (PnL & VaR) and review of Market data and Market data models.
- Demonstrated experienced in financial markets and products - IRD, FXD and/or COM (minimum 5 years)
- Murex system experience (minimum 2 years) or Sophis system experience (minimum 2 years)
- Quantitative qualification (Master/PhD)
- Programming experience
Financial Markets Products
Equity, Fixed Income, Securities Financing, FX & Interest Rate derivatives, Equity & Credit Derivatives, Commodities.
Risk Management
Market Risk Methodologies, including VaR, Stress VaR, Incremental Risk Charge, Specific Risk, Event Risk, Back Testing, Limit Framework and Historical Simulation
Prudential Regulation for Market Risk, including Basel 2/2.5/3 and CRD4."
Required technical skilss/hard skills
Excellent knowledge of Murex 3.1 or Sophis 5.3 in terms of Pricing Models and Risk Models (VaR) and Reporting
Market Data knowledge
Excellent writing skills in order to formulate business requirements
Market Risk reporting knowledge
Strong affinity with IT
Required behavioural characteristics
- Good communication skills
- Stakeholder management
This role will require you to be onsite in Amsterdam 5 days a week.