Market Risk Aggregation Role - BFS

- Preparation and analysis of accurate and timely daily market risk and Consolidated reporting and analysis, for MI and regulatory purposes with a global remit e.g. sensitivities, VaR, Stressed VaR (SVaR), Incremental Risk Charge (IRC), etc.

The main customers of the consolidated reports are the Regulatory Finance team (for capital & RWA reporting) and senior market risk management

- Analytical review and explanation of movements to stakeholders (60% analytical review, 40% reporting) on reporting supported out of the offshore team.

- Consolidate Risk Management Committee packs

- Review & monitor limit mandates

- 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.

- Computation of Maximum Stressed VaR period, globally.

- Ad hoc regulatory projects (Stress testing, FRTB, HPE etc)

- Continuous process improvement