Description
I am currently recruiting on behalf of a financial consultancy working with Tier 1 Banking client's. The end client is completing a Market Risk project to become fully compliant with the Internal Model Approach (IMA) for Market Risk.
They are looking for a business analyst and the Business Analyst will be 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 skills/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
If you hold the required experience and are able to work within the Netherlands please send me your up to date CV and I will discuss the position upon receipt.
ITHR is acting as an Employment Business in relation to this vacancy.
ITHR is an Equal Opportunities employer; we welcome applicants from all backgrounds.