Market Risk Manager
- Daily measurement, monitoring and control of market risk on assigned products within trading books.
- Ensure market risk exposures are correctly captured and reported in the system or record, identifying any gaps in position reporting and driving resolution of issues.
- Continued work on maintenance and enhancement of the VaR and stress testing frameworks.
- Maintenance and enhancement of the methodology and process documentation relating to the measurement and attribution of VaR and other monitoring tools and stress testing frameworks.
- Assess the completeness and accuracy of market risk stress testing arising for trading room activities, identify gaps such as unstressed trading strategies, propose and implement improvements where necessary.
- Graduate degree in a quantitative discipline, e.g. mathematics, statistics, physics. Professional qualification (e.g. FRM/CFA) is highly desirable.
- Good programming skills in Excel and database applications; proficiency in VBA and SQL is required and other languages such as R, C++, Python are desirable; Bloomberg;
- Minimum 4 - 5 years' experience in market risk management with a strong understanding of derivatives and associated risks.