Assistant Manager - Market Risk

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.

Preparation of Issuer Risk reports, EAD reports and other Credit Risk reports

Perform various UATs with respect to the Risk systems and provide signoff on the functional aspect.

Other analyses will be needed on an ad hoc basis, and familiarity with a variety of sources of information - internal and external - is necessary. For example analysis of data histories held on internal risk systems or Bloomberg.

Deal promptly with ad hoc questions on risk-related information, investigate any apparent data discrepancies and resolve as necessary.

Knowledge, Skills and Experience requirement

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.