Business Analyst – Market Risk – CoRep recruitment

This appointment is for someone to be responsible for Market Risk work on the Common Reporting (COREP) Project which seeks to harmonise European Capital Requirements Directive reporting. In addition the person will also be supporting projects in Fixed Income, Emerging Markets and Foreign Exchange within Market Risk Projects when time permits.

Be the primary contact for Market Risk on the bank wide COREP initiative. The individual will be responsible for analysing, documenting and specifying Market Risk requirements for COREP templates as well as putting together test plans and testing any changes to risk systems required to complete the project.

Combined the roles involves close interaction with front office Risk Managers, the Methodology team and IT. As both roles are fundamentally project based and span across different departments in the Bank, managing one’s own work on projects that run sequentially or concurrently and communicating effectively with other parties on timelines, progress, deliverables and dependencies is a key part of the role.

Within this role you will be responsible for

• Provide business solutions to facilitate market risk COREP

• Understand and analyse impact on VaR for changes being made to risk systems or risk feeds by FO systems and present results to Risk Managers and Senior Management within Market Risk Project

• Contribute to the development of risking methodologies for new structures and products

•  Document requirements for changes to risk systems or risk feeds by FO systems and obtain sign off where required from Risk Managers and Senior Management within Market Risk Projects.

•  Represent the department in various working groups and communicate timelines, progress and dependencies to other parties in the Bank

• Constantly investigate enhancements of risk practices, processes and controls. - Assist members of the department on issues arising in project work or in daily VaR production

Essential experience

• Degree in a quantitative discipline from a top institution or equivalent

• Post graduate degree in a numerate/quantitative subject preferred

• Business Analysis experience in a top tier institution exposed to Market Risk or Product Control

• Good knowledge of derivatives products and structures, mainly fixed income and credit products

• Very good market risk management knowledge (VaR methodologies, scenarios/stress testing, sensitivities/Greeks)