Business Analyst - Market Risk Aggregation

- Involved in Preparation of BRD,FRD, Requirement gathering and documentation.

- 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.

- 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.