Market Risk Analyst
Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the company’s global banking and global markets businesses.
The company is a long-established participant in the European marketplace, with a presence since 1922. With offices throughout Europe and CEEMEA, the company offers an integrated and comprehensive set of products and services across all businesses, serving the needs of individual, corporate, institutional and government clients, by combining the best of local knowledge and international expertise. Bank of America Merrill Lynch has a strategic and measured approach to its international development and is strengthening its business and infrastructure to create sustainable, long-term growth.
The Risk Management team that covers the credit derivative business is a global team based in three locations worldwide (New York, London and Hong Kong). It covers all aspects of risk management and trade approval for credit derivatives and correlation products.
The successful candidate will work closely with the credit derivatives trading desks and the prime brokerage desk.
Responsibilities
- Monitoring and analysis of market risk profile with principal emphasis on the Structured Credit Trading space.
- Communicating the key risks to Senior Management locally and in the US.
- Development of risk management analytics/applications, and coordinate their implementation in our in-house systems.
- Understand and report risk drivers and PnL movements.
- Deep dives into specific strategies/books, involving large amounts of data.
- Conduct time series analysis, back testing.
- Analysis of new transactions and trading strategies as required.
- Liaising with the trading desks and other support partners on new initiatives, new products and risk issues.
Requirements
Essential:
- Understanding of Risk Management frameworks, particularly VaR
- Education with quantitative bias and strong analytical skills
- Derivatives knowledge, ideally Credit Derivatives (CDS, CDO, Correlation products, CDS Index Options).
- Drill down and spreadsheet skills: ability to analyse the movements and drivers of Risk and VaR, down to product level as well as the ability to handle large data bases.
- Ability to discuss the detail behind the risk changes and new trades to ascertain the trading strategy
- Excellent Excel skills
- Team player, capable of working under pressure within a diverse team, operating in several time zones to tight deadlines
- Detail orientated
Desirable:
- Experience in prime brokerage
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