Banking Book Market Risk recruitment
This person will be responsible for day-to-day market risk control tasks, such as analysis and reporting of the market risk exposures, as well as understanding PL and its relationship to risk on the books.
Perform daily market risk control tasks of Treasury’s Money Market Banking Book
Analyse the books’ risk profile, review daily market risk reports, identify all significant risks, including concentrations and basis risks (contractual and implied), and ensure that they are being captured and reported appropriately in the daily market risk reports.
Provide detail commentary on the current risk profile, including analysis of changes and emerging trends.
Build strong relationships with the desk, providing appropriate challenge, but also acting as a partner to support controlled business growth.
For new risks not currently captured, design and implement appropriate analytics and risk metrics, in conjunction with the risk infrastructure and methodology and analytics teams.
Design and report appropriate stress tests for these books, including calibration of the tests to historical data.
Pro-actively monitor risk limit utilisations, identify, escalate and resolve limit breaches.
Understand and review the daily MTM PL and its relationship with the VaR exposure, accrual PL and its relationship to Net Interest Income.
Development of ad-hoc reports and respond to ad-hoc queries as required.
Understand the trade representation of all products which are in the banking books.