AVP - Market Risk Analysis & Control - BFS

The specific role comprises the following responsibilities:

- Run all process and controls to check completeness, accuracy and timeliness for Historical Simulation VaR/SVaR process.

- Finalize VaR/SVaR/RWA for respective businesses and at Group level and explain Day on Day, Week on Week and Month on Month drivers

- Identifies and remediates all Exceptions that are not being consumed in VaR - both at individual Asset Class level and at Group level

- Provide analytical support to Risk Managers to facilitate risk management / business decisions.

- Contribute to methodological enhancements, including quantitative impact analysis. Applying experience and subject matter expertise to perform Run-the-bank tasks such as VaR/SVaR impact analysis for Hist Sim methodology, continuous improvement of processes and controls.

- Liaising with Market risk managers, FO quant, Change teams and Methodology to perform deep dives on data challenges in new market risk models/methodology changes/RNIV and implementation of new regulations such as FRTB and IHC examination

- Help specify requirements and test functionality for new feed set up, processes and ability to coordinate with Risk-IT for seamless implementation of new data requirements and process enhancements

Requirements

- A strong and relevant background working in an international Bank or comparable experience

- Depth knowledge of VaR methodologies - monte-carlo and historical simulation

- Good product knowledge of derivatives and pricing in at least one asset class - Equity, Credit, Rates, FX, Commodities.

- Market risk, Middle office, Valuations or Product control background with relevant subject matter expertise in one of the three disciplines

- MFE/MBA in Finance or relevant experience with Engineering, finance or quantitative/statistics background

- Good understanding of statistical distributions

- Excellent Communication skills and attention to detail

- Strong analytical, problem solving and critical thinking skills

- Advanced Excel and VBA skills

- A track record of working in a CTB (Projects) and RTB (Production) environment simultaneously

- Knowledge of languages such as R, Python, SQL preferred

- Certification such as FRM or CFA or CQF is preferred