Market Risk Aggregation Role - BFS

Mandatory Skills :

- Market Risk,VAR capital & RWA reporting) and senior market risk management

- Qualification in finance, accountancy, business management or previous experience in risk management (Market Risk and Credit Risk) is essential.

- Highly competent in the production of information, and the ability to process and analyse large volumes of data.

- Excellent communication skills

- Excel and VBA skills are a pre-requisite

- Ability to work under pressure and to tight time-lines is essential

- A detailed understanding of the credit risk measures like PD, EAD, LGD, Expected Loss, Unexpected Loss and credit risk concepts like counterparty credit risk, credit derivatives.

- An understanding of market risk measures such as present value of a basis point (PVBP) and VAR, or detailed understanding of the valuation of capital markets and derivative products is desirable.

- Model Performance review - specifically VaR back testing, hypothetical portfolio back testing.

- Preparing back testing packs for Europe & Middle East region and providing inputs to the Global pack.

- RWA reporting - MI pack for Market Risk RWA requirement

- Assisting the team in coordinating and following up with sign off from Market Risk managers of respective desks and/or regions.