Junior Market Risk Reporting Analyst
Core Responsibilities:
• Daily Risk Reporting – daily reporting for rates and credit clusters and the overall Trading Book to
management. Commentary on PL and risk triggers.
• Weekly Risk Reporting – preparation of weekly risk report for the Trading Book for the Risk
committee. Chairing a weekly meeting to brief management including presenting the report. Input
into Monthly Risk Reporting.
• Trade Activity Reporting – daily analysis of new trades and checking new trades at market prices
(“Market Conformity”)
• Valuation – daily marking of selected interest rate and vol curves.
• MRM Core processes – daily comments on risk and PL trigger events, analysis for weekly ALCO
report; investigation of back-testing exceptions. Review of stress testing; point of contact for audit.
Drafting of policies and procedures relevant to the business
• Team Member - cover of responsibilities of other team members as necessary (risk reporting,
PL attribution, valuation, IPV, reserves calculation)
Skills and Competencies
The successful candidate with have a quantitative background with at least one years experience in market
risk management or product control. They will have knowledge and experience of the following:
• Interest Rate Derivatives including trading strategies and risk profiles
• Risk management concepts and procedures including sensitivities, VaR and Stress Testing
• Valuation model and inputs including market data
• Risk technology implementation including business analysis and system testing
• VBA skills
The candidate will be self starting, able to take initiative and will have very good co-operation and team
working skills. They will have strong communication skills and confident in dealing with traders and senior
management.
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