Market Risk Middle Office Analyst recruitment
Daily production of Risk Measures (VaR, S-VaR, IRC, CRM) reports:
Data Quality
- Missing Data – Instrument identifiers, ratings, PVs, notionals, etc – Monitoring completeness and accuracy of information used by Monju
- Reconciliation processes
- Resolve trade booking issues
- Trading account mapping, hierarchy and reconciliation with Finance
Stress testing
- Day to day support: review of results, supporting analyst review
- Testing new stress tests
- Perform detailed analysis as required
- Interface into Finance and reg capital reporting
Daily production and distribution of MI from Monju, including but not limited to:
- Signoff status
- Use of proxy time series in the VaR calcs
- Significant differences vs ‘expected VaR’ with root cause summary
- Backtesting exceptions and root cause summary
Backtesting analysis at SP2 level
- Confirm that VaR and PL are correct when backtesting exceptions occur
- Liaise with Product Control and Risk Analysts to analyse cause of backtesting exception
- Ensure timely production and distribution of backtesting exception report
Regulatory Reporting for UK FSA
- Production of monthly and quarterly reports for UK FSA
Requirements:
- Degree in a relevant discipline
- Experience with Market Risk Reporing techniques including CAD II and Regulatory Capital
- Working knowledge of Basel 2 CAD II requirements and VaR concepts as they relate to exposure and regulatory capital reporting.
July 2, 2010
• Tags: Investment Banking, M & A careers in the UK, Market Risk Middle Office Analyst recruitment • Posted in: Financial