Analyst - VaR Backtesting

Role description:

- The VaR Backtesting Team is responsible for ensuring Market Risk data is timely and accurate. Within this framework backtesting is performed to validate the VaR figures and methodology.

Key elements of the role are:

- Cover the production of hypothetical P&L and the daily backtesting process for all regions and legal entities.

- Review the results of the backtesting process, liaising with Finance and Product Control to understand and analyse exceptions from a profit and loss and VaR perspective, and ensure that comments given are valid.

- Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements.

- Assist with production of monthly management information packs for Risk Managers and regulatory bodies.

Key objectives critical to success:

- Review of Hypothetical P&L

- Assist in performance of daily back testing process

- Early identification and reporting of back testing exceptions

Skills:

- Looking for someone from financial control, product control or finance background.

Education: B.Com or junior MBA

Experience:

- 2 - 4 years of experience, knowledge of financial IB products

- Knowledge of financial products and risk reporting, experience working in product control will be helpful.

- Fluent with excel. Knowledge of VBA and SQL