Market Risk Aggregation Role - IT/BPO/BFS

- 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.