Market Risk Reporting Analyst - BFSI

We are looking for Market Risk Experts with hands experience on preparing Market Risk Reports, VaR Reports, somebody who understands Stress Testing and Back Testing Concepts.

Job Description

Part of team of analysts supporting the Banks reporting (including VaR, Position Risk ERC, Allocated Capital and sensitivities), limit monitoring and back testing preparation.

- Work with the cross functional reporting team to improve efficiencies across reports and analytical tools as well as the development of further tools.

Sensitivities Reporting:

- Production and distribution of market risk reports 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

ERC and Allocated Capital:

- Calculation and reporting of Group Position Risk ERC (99%), including analysis of portfolio changes and ERC composition over the reporting period

- Preparation of the weekly executive board report which represents a snap shot of key risk limits and usages

- Testing of new methodologies, parameters and system changes

- Ownership of reporting business hierarchy and liaison with relevant teams as and when reorganisations occur, includes requirement to adjust historic ERC usages for new business structures

- Development / improvement of reporting processes and infrastructure including control aspects

- Adhoc business and senior management requests, e.g. analysis of ERC usage, ERC concentrations

Role would suit a strong analyst with good Excel skills and would require good experience in financial markets and Risk management experience.

- Prior VAR/ ERC experience would be a plus

- Graduate/ Post-Graduate in Finance/ Statistics/ Economics/ Sciences/ Mathematics and completed/ pursuing taking the CFA or FRM qualifications would be desirable.

- Ability to work independently, and escalate issues appropriately.

- Good communication skills and attention to detail

- Strong control mindset and analytical skills

- Ability to quickly understand concepts and breakdown problems.

- Ability to develop relationships with internal clients globally

- Opportunity to develop and enhance tools for risk reporting group. Analysis of results needed which would increase exposure to risk management function.