- The purpose of the role is to produce consolidated Traded Credit risk, market risk and Value-at-Risk (VaR) information daily for senior Group and Global Banking and Markets executives.
- Preparation and analysis of accurate and timely daily market risk and VaR reports for senior management.
- Analyse and provide commentary on changes to risk exposures on a daily basis.
- Track the daily market risk returns from all trading entities, and liaise with regional market risk managers and finance functions to resolve any data issues in the daily returns.
- Finalise the daily Group VaR for both internal and external reporting purposes.
- Perform daily VaR back-testing at the Group level for internal and regulatory reporting.
- Prepare monthly reports on Back-testing for the Model Validation Review meetings.
- Tracking the market risk limit excesses submitted by the sites, and the preparation and review of limit excess reports for senior management review.
- Administration of limit amendment procedures, that requires the accurate tracking and timely maintenance of regional and site limit records.
- Monthly production of material limits amendments and excesses for the Business Control Committees.
- Preparation of monthly risk management papers for the Groups RMM and the Global Banking and Markets Risk Management Committee.
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