Investment Risk Analyst

Investment Risk Analyst

Core objective of the role

My client is seeking to recruit a Risk Analyst to help with identification, management and reporting of investment risk. The function is responsible for implementation of risk management policies and monitoring procedures so that the business maintains an adequate level of control, meets regulatory requirements and is aware of any breaches on a timely basis. The team's headline responsibilities include: collateral and credit risk, stress testing and scenario analysis of their investment strategy, liquidity risk, pricing policy, derivative exposure monitoring and trade approvals. The team and function are rapidly expanding in response to the needs of the business and changing regulation.

Role summary - key tasks

Day-to-day tasks

Investment risk:

• Calculation of global exposure limits, including escalation and management of breaches
• Preparation of Historical VaR calculations against VaR limits, including escalation and management of breaches
• Preparation of risk factor and risk contribution analysis
• Assist with preparation of weekly predictive and historical scenario analysis

Credit risk and Collateral management oversight:

• Calculation of current and potential exposure of derivatives to monitor counterparty exposure
• Calculation of exposure from forward foreign exchange contracts across different maturity dates and currency pairs to monitor counterparty exposure
• Monitoring of collateral balances against derivative exposures to check that our positions are sufficiently collateralised
• Review of unsettled trades against settlement risk limits, including escalation and management of breaches

Asset pricing oversight:

• Perform independent derivative pricing verification through quantitative PNL analysis
• Manage derivative trade population in valuation platform
• Resolving queries and pricing discrepancies between our price, counterparties and administrators
• Assist other internal teams with pricing queries

General and ad hoc tasks

• Assist in various projects to automate current risk tools using Python and Jupyter notebooks
• Perform pre-trade option approvals to verify against risk limits and eligibility
• Assist in answering ad hoc queries from the business, administrators and clients
• Assist in cross departmental projects and initiatives

Skills, knowledge, experience and qualifications

• Advance in excel (VBA, Macros etc) is essential
• Python knowledge is essential
• Knowledge of Bloomberg a plus
• Interest in financial markets and understanding of relevant asset classes
• Knowledge of derivatives (FX, Equity, Rates) and their basic pricing models
• Degree in finance or related quantitative discipline
• Candidate for CFA and/or FRM