Contract Market Risk Analyst
The department is responsible for the review analysis of Market Risk exposures of the Corporate Investment Banking trading units.
Key responsibilities will include:
•Calculation, analysis and reporting of VaR (Value at Risk) and market risk sensitivities (delta, gamma, vega, theta etc) for bank-wide trading activities
•Liaison with Market Risk Managers, Trading desks, Finance to validate explain material risk moves in daily VaR sensitivities
•Management of critical backtesting control process, involving daily comparison of calculated VaR to PnL across all business lines
•Calculation, analysis reporting of market risk stress tests and economic capital
•Implementation VaR methodology projects in partnership with Market Risk Managers and the Business
•Compilation of historical market data time series to support VaR calculation process
The successful candidate will provide analysis of daily VaR sensitivity movements at the Daily Global Market Risk call also lead / support business-specific change initiatives in one or more of the risk asset classes (Equities / FX / Credit / Commodities / Interest Rates).
If interested in this fantastic opportunity then please call me to discuss further on 0203 145 3369 or send your CV directly to me on emma.finch@bruinfinancial.com