Associate - Market Risk - Stress Testing - FDSF

Business Unit Overview :

Market Risk Management works to identify, monitor and control the firm's exposure to risk, analyze stress test results, and provide analysis on new products and businesses. Market Risk managers liaise with the risk managers in the trading centers on a daily basis to help manage their market exposure, set & review risk strategies.

Major activities involve daily analysis and interpretation of the results of risk sensitivities; validation of VaR, Incremental Risk Change, Economic Capital numbers and sign-off on the relevant Risk systems & preparation of risk reports for traders and senior business management. Risk managers are also expected to re-engineer the risk reporting process and provide ad-hoc risk views and drill down analysis of less transparent risks and issues of importance to senior Risk Management/Trading Heads.

Role & Responsibilities of the position in brief :

- Analysis and review of scenario results, focusing on understanding behaviour of derivative products under scenario conditions

- Satisfy the regulator's scenario requests and other infrastructure and control requirements

- Implementing improvements to stress testing reporting information and developing new stress tests in order to provide effective key risk management information to senior management

- Working with front office and other risk managers to review current portfolio risks and trading strategies in order to develop new scenarios / improve current scenarios to fully address market and other risks

- Contribute in the design and specification of functional improvements to strategic and tactical IT applications used for stress testing.

Skills :

- Good knowledge of Financial Products, Financial Markets, Economics.

- Extensive knowledge of pricing/risk management of a variety of FX and rates derivative products.

- Thorough understanding of standard risk management tools (VaR, Scenario Analysis etc)

- Background in a numerical discipline: engineering; math; science; etc.