Risk CVA Analyst recruitment


A Top Tier investment bank has opened up an exciting role as a Risk CVA Analyst for a contract position. This role is for the Market Risk reporting for the Traded Credit business, covering Flow Credit, Structured Credit and Securitised Products. It also covers Basel III CVA Risk Reporting. You will need strong analytical skills, strong understanding of CVA, a necessity for solid communication skills, good interpersonal skills and an exceptional team player.

Role/Responsibilities

- This role is for the Market Risk reporting for the Traded Credit business, covering Flow Credit, Structured Credit and Securitised Products. It also covers Basel III CVA Risk Reporting (which leverages off existing MRE production processes).

- Responsible for the daily Time Series (TS), VaR, Regulatory Reporting and Positions Validation processes for both Market Risk and CVA.

- Investigate production issues, ensuring that concerns raised are efficiently communicated and resolutions are planned and effectively coordinated and actioned.

- Maintain the Specific Risk Model (SRE), ensuring Specific Risk is accurate/complete and that we continue to meet our regulatory requirements.

- Develop and implement new and existing business initiatives and investigate potential issues surrounding the daily time series, VaR and positions within the Credit asset class. New and existing business initiatives are fundamentally project based, therefore on occasions the need to have skills to actively participate in projects sequentially or in parallel with others is of the utmost importance. To have sufficient competence within the various product ranges and to add value to discussions with the line manager, Risk Manager, Front Office and other external groups within Product Control or the wider banking environment.

- To deliver cost efficient research and development when priorities are changed and limited information is available.

- To complement and enhance the working patterns of the market risk engineering team with focus on the development and consolidation of current methodologies developed within market risk.

- To undertake daily Time Series BAU and Project work and to assist in the development of new and existing methodologies in the creation of historical time series. For example constructing or using existing statistical and/or time series models for synthetically creating data.

- Production and validation of daily VaR for the Global Credit business and CVA. Project work to develop/enhance new/existing initiatives

- Maintaining VaR and Non-VaR limits on trading portfolios.

- To undertake daily SRE BAU and adhoc requests. This includes setting up corporate issuers to risk using Specific Risk methodology, investigating and correcting daily SRE risk failures and producing Regulatory Control reporting.

- To undertake daily position reporting activities and Project work to develop/modify reports in line with new methodology/business changes.

- Responsibility for daily time series, VaR and Position Reporting issues, ensuring that problems are overcome by means of effective dialogue with internal and external team members.

Skills

- Degree level, with strong quantitative background in Mathematics or equivalent

- Solid experience as a CVA analyst

- Strong understanding around CVA, Credit Risk and Market Risk

- Exposed to Market Risk, delivery of projects, and/or Product Analysis.

- Solid experience with VBA, Access and SQL

- Talent for assimilating large quantities of data and presenting in a logical format.

- Quantitative analysis and research skills

- Financial products knowledge

To apply for this position as a Risk CVA Analyst you must have the experience as outlined above and be an excellent communicator. You should have a strong ability to multi task and be comfortable working under pressure. This is an excellent opportunity to join a well respected investment bank.