Int Market Risk Analyst to participate in the analysis and creation of commentary into VaR, stress, greeks and other risk metrics for a large financial bank -44249
S.i. Systems
1d ago

Position Title : Risk Analyst II (2-4 years)

Start Date : ASAP

Location- Hybrid once covid is lifted

Business Unit : 4 - Enterprise Market Risk Control

Duration : 12 months

Extension possible : yes

Conversion Possible : yes

Schedule : M-F (business hours) 37.5 hours per week

Rotation Schedule : No

OT : Yes

Department Overview :

Job Description :

Responsibilities include, but are not limited to :

  • Understand the underlying principles for :
  • oValue-at-Risk (General market, idiosyncratic, and migration and default risk)

    o Stress Testing

    o Pricing and risk management of financial derivatives, including issues that arise regarding financial modelling of products for VaR and risk purposes

  • Participate in the analysis and creation of commentary into VaR, stress, greeks and other risk metrics.
  • Participate in the testing of tools related to VaR, Stress, backtesting and PnL.
  • Understand FRTB and work towards its compliance
  • Provide constructive feedback and suggestions on the approach(es) taken in the project work streams on which he / she participates
  • Participate independently with limited guidance in ad-hoc analysis, and discussions to support different stakeholders
  • Maintain documentation in respect of the key policies, processes, and procedures
  • Understand and comply withThe banks policies, regulatory, and compliance requirements
  • Develop / program / maintain application for attribution processes
  • Must Haves

  • Efficient with working with large amounts of data and complex computations / methodologies
  • Comfortable with working in a rapidly changing environment
  • Proficiency with Excel, including pivot tables and macros
  • Relevant industry or risk management experience and / or accreditation (FRM / PRM / CFA / MBA)
  • Good understanding of concepts of statistics, financial and risk modeling
  • FRTB and risk methodology knowledge

    1.) Experience with VBA, UNIX, SQL, Python

    2.) Previous Banking experience, Financial experience

    3.) Programming experience would be beneficial

    DISQUALIFIERS is there any information / experience on a candidate’s resume that would disqualify them from consideration for this position?

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