Job description :
- Part of team of analysts supporting (including VaR, Position Risk ERC, Allocated Capital and sensitivities), limit monitoring and back testing preparation.
- Work with the cross functional team to improve efficiency across analytical tools as well as the development of further tools.
- Face off to key stakeholders across MRM
Sensitivities Reporting :
Production and distribution of market risk (Var) including investigation and analysis of exceptions, data integrity and methodology issues
- Reporting and performing validation checks on VaR movements. This will involve evaluation and analysis of market risk exposures by employing statistical and other approaches.
- Ensure that the risk reports are accurate and complete along with the implementation of improved controls.
- To participate in the roll out of enhancements in risk systems processes and data feeds.
- VaR, ERC, Exposure & Sensitivity Limit Monitoring
- Monitoring of VaR, ERC, Exposures and Sensitivities against limits globally across all business lines
- Reporting of and explanation of limit violations to senior management
- Escalation and resolution of limit breaches
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