.
Duties:
- Provision of market risk management information to senior management as necessary to enable decision making with regards to positions
- Provide management with expert advice on market risk and VaR related regulatory charges and controls
- Implementation of systems strategy to ensure that the market risk function is able to effectively and efficiently perform its core functions.
- Reviewing new products and structures to identify all material market risks and ensuring effective controls surround these to ensure appropriate risk management occurs during their life cycle
- Development of stress testing scenarios, reverse stress testing and the stress testing platform
- Oversight of the market risk monitoring processes with respect to market conditions
Qualifications:
- Strong quantitative and/or business related university qualification
- Solid experience in Market Risk Analyst and / or Fixed Income Trading
- Outstanding in depth knowledge of Rates and/or Credit markets and products,
- Strong quantitative skills i.e. derivative pricing, VaR methods, market data analysis
- Strong technical skills (VBA, SQL, Matlab, C++ etc) and Fixed Income markets savvy
- Ability to understand and interpret complex business requirements
- Provide project co-ordination for the definition and execution of IBOR Transition implementation projects in the HBEU, HBUS, HBCE, HBAP regional stakeholders (MRMs, CRMs, MRAs and ASP TR IBOR WG members);
- Contribute detailed regional risks analyses to group project stakeholders
- Offer testing requirements and validate mapping changes prior to UATs (e.g. curve & risk factor)
- Perform end-to-end quantitative and qualitative data analysis (e.g. raw trades reconciliation, feed checks, trade completeness check, sensitivities changes validation, VaR explains, etc)
