Description
Market Risk Analyst - VaR, risk reporting, VBA,SQL - Investment Banking
For this top tier Investment Bank we are looking for a Market Risk & Engineering Analyst. The Risk function (Market & Credit Risk) provides risk reporting and exposure monitoring, analysis, Market Data validation and project management for Risk Management. R&E Production delivers risk reporting (VaR and position reporting) across all asset classes on a daily basis to senior management, risk managers and the desks. This role is for an experienced analyst for VaR & Stressed VaR reporting across different asset classes within R&E.
The main functions of the role include the following:
- Production of daily stressed VaR across Investment Banking
- Drive improvements and facilitate the implementation of the daily stressed VaR reporting process.
- To be the point of contact with the FO risk management team, working on limits monitoring and risk analysis
- Produce management information (MI) on VaR changes/drivers and Position reporting
- Assisting in production of daily risk reports that are sent to senior management, Front Office and Risk (both VaR and Position).
- Running data integrity checks around the products position reporting systems
- Adhering to and evidencing strict control practices put in place to ensure confidence in published VaR and Positional data
- Managing relationships with other operations teams that are responsible for maintaining data which impacts reporting
- Ensuring audit integrity for all MI generated from the production process and governance on Policies set out by the Bank
Qualification/Education
- Requirement - Degree
- Preferred - Post Graduate or Professional Qualification in a numerate subject/finance/business degree
Experience
- Solid and in-depth VaR experience (ideally 1 year +)
- Market risk management/reporting experience in one of the following Asset Classes. FX/Rates,Fixed Income Credit, Commodities, Equities, Emerging Markets
- Prior experience in market risk/risk reporting/VBA & SQL
Skills/Aptitude
- Ability to communicate effectively
- Excellent team player with the ability to also work independently on mini-projects when required
- Ambitious, focused and able to work well under pressure
- Self-motivated, takes ownership of responsibilities assigned to him/her
- Must have advanced excel and preferably SQL skills to maintain tools that will help in carrying out the responsibilities in this role
- Ability to multi-task and balance priorities effectively
- Willing to question existing processes in a tactful manner
- Able to pay attention to detail
- Problem solving in a time constrained environment