Job Description:

Main Duties / Responsibilities:

- Manage systematic model testing for VAR, SVaR, CRM, CVA, and also support Back testing and Stress testing.

- Research alternate sources of data for continued comparison and quality assurance, including data extracted from the bank’s internal systems

- To provide timely and accurate market data for internal Market risk systems.

- Analyse time series data for information content that may be of use to Risk Managers, such as market liquidity, hedge efficiency, and so on

- Validation of time series data including security pricing, asset pricing, index, corporate actions, trading data and market level data.

- Management of own daily production, data integrity and testing projects

- Understanding of regulatory environment framework Basel 2 and Market Risk directive CAD 2.

- Working knowledge of VaR and Risk sensitivities.

- The primary focus of the role includes the analysis, specification, design and implementation of daily Credit risk feeds.

- The role involves understanding the various processes to generate the risk numbers retrieved by various risk feeds. This will involve evaluation and analysis of Market risk exposures by employing statistical and other approaches.

- Work closely with the Business, Front Office IT, Risk IT, Controllers, Operations and counterparts in other regions

- The key elements of the projects include planning, assessment of completeness and accuracy of the data, specification of feeds, processing and testing.

- 6 to 8 years of Financial services experience in Market Risk Management or Market Risk Capital Reporting of an Investment Bank.

Required:

Education and Professional Qualifications:

- Minimum Master's Degree Qualified in Financial Mathematics, Mathematics, Physics (or equivalent Quantitative Degree from a good recognised University); PhD holders are welcome.

- FRM or PRMIA, PMP or ITIL.

- MA, PRMIA, ITIL, PhD

Work Experience:

Essential:

Desirable:

- Understanding of VaR and can demonstrate an understanding of the different VaR methodologies.

- Market risk management or Front Office experience is a MUST

- Strong quantitative and modelling experience, good analytical thinking skills

- Strong Microsoft EXCEL skills; ideally with the ability to write own advanced VBA code.

- Well verse in structured banking products (interest rates, fixed income , credit products etc)

- Strong understanding of risk sensitivities, Greeks, their mathematical interpretation and daily use

- Functional documentation experience.

- Strong understanding of structured business analysis i.e. gathering requirements, documenting

- Ability to work between business and IT, produce specification and oversee UAT

- Knowledge of risk model design from mathematical description to software design

- Broad knowledge across trading and banking book products e.g. OTC derivatives , interest rates, FX, Loans & Equities.

- Strong knowledge of securities financing transactions and/or another product class in depth within equity

- An understanding of some of the more common financial products (e.g. Forex trades, futures, options, swaps, credit derivatives).

Technical/Business Skills and Knowledge:

Essential:

Desirable:

- Strong stakeholder management capabilities.

- Exceptional communication and writing skills.

- Very strong control skills.

- Strong spreadsheet and database skills.

- Relational Database experience, with the ability to write SQL code advantageous.

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