Market Risk Analyst at Michael Stevens Consulting

Job Description

• The position is primarily responsible for analyzing, monitoring, and reporting market risk arising from Treasury activities.
• This is a role to provide support to the Market Risk function of the Bank. The ideal candidate will provide oversight on Treasury activities, conduct statistical analysis, and design and develop Management Information Systems for analyzing, monitoring, and reporting market risk. It is an excellent opportunity for someone to develop their career both in the market and at risk.

Responsibilities

• Develop and maintain the production of regular Management Information (MI) to support the monitoring and evaluation of market risk Key Risk Indicators.
• Conduct surveillance of Treasury activities to ensure compliance with approved parameters for trading and the banking book.
• Report on market risk exposures derived from Treasury activities.
• Perform development, validation, research, and other data analytics tasks.
• Measure market risk appetite parameters, portfolio composition, trends, and concentrations, and report breaches where relevant.
• Liaise with other departments of the Bank as required, such as Origination, Market and Credit Risk, Regulatory Compliance, and Finance.
• Assess new regulatory policies and their impact on market risk exposures.
• Back-test Value-at-Risk (VaR) to assess profit or loss and ensure the effectiveness of the model.
• Support the Head of Portfolio Risk Management in the annual review of Market Risk policies.
• Prepare Market Risk Trading Limits.

Requirements

• A quantitative degree in one of the following fields is required: Engineering, Mathematics, Statistics or any applicable quantitative field that requires heavy use of computational mathematics and/or statistical techniques
• Highly numerate with strong academic experience in data analysis.
• Ideally 1 to 2 years of work experience in market or risk analysis and reporting.
• Understanding of key risk factors for Treasury Trading (FX and Bonds), Credit Trading, and how they are measured.
• Some exposure to either market or credit risk will be an advantage.
• Advanced and proficient Excel skills are required, including the use of macros and VLOOKUPs.
  Excellent skills in Word, PowerPoint, and Outlook.
• Effective Communication Skills including the ability to document and present results suitable for relevant audience
• Strong analytical skills.