Trading Market Risk Reporting Analyst
This role reports directly to the Market Activity Monitoring Section Head for Treasury/Linear Products.
The Department has two key responsibilities:
- Production and analysis of the PL figures
- Production of the market risk indicators and monitoring of their associated limits.
Systems: this production is carried out using Front Office systems and dedicated environments. Global View is the dedicated tool used for risk management purpose.
- Collections, validation and control of market parameters.
- Daily production, control and analysis of PL figures and market risk limits utilisation.
- Daily production of VAR and back testing of the VAR, derived risk indicators (correlation etc, stress scenarios.
- Daily report of all elements of PL and market risk (including limits breaches) to the business line and the risk manager.
- Daily control of reconciliation of stocks and past cash flows, FXC positions between FO system and BO systems.
- Calculation of provisions, hold back reserves etc.
- Review of month end PL reconciliation (accounting PL Vs risk PL) produced by the accounting/financial control department. The department plays an active role in this exercise, as it needs to validate any required adjustment or identified methodology differences (of any pending items).
- Organisation, preparation of the ‘valuation process committee’ in co-ordination with the business Line Risk manager (meeting called upon request).
- Participation in specifications, implementation and tests of the used systems.
- Coordination with the quant team to make sure that the pricers used are validated.
- PnL attribution/explanation using the Risk indicators and Market Data moves.
Legal and Regulatory Responsibilities
- Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and Compliance policies and procedures as issued from time to time; Financial Security requirements, including, but not limited to, the prevention of Financial Crime and Fraud including reporting obligations to the Money Laundering Reporting Officer.
- Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as required to attain and maintain competence.
Leave a Reply
You must be logged in to post a comment.