Assist in defining risk factors that are not captured in VaR, sensitivities and/or valuations. Assist and suggest proxies to those risk factors where required and assess the estimated VaR, sensitivities and/or valuation impact as part of testing and go-live preparations.
Leading role in risk factor developments, risk feed upgrades, system migrations, UAT testing and other business projects.
Qualitative development of internal models and limit frameworks for market risks.
Key point of contact for the Traded Market risks associated with the Credit Trading business, including VaR and the Detailed Control Limits (DCL) associated with these portfolios.
Strong quantitative and qualitative skills with the ability to drive results in through negotiation, lateral thinking and the ability to make decisions.
Strong engagement with the Market Risk Analytics and Market Risk Technology teams in defining and delivering the daily reporting structures and processes
Relevant experience across one of Markets, Market Risk (management of risk or oversight) with specialist knowledge of fixed income and credit derivative products.
Strong technical knowledge of market risks with particular emphasis Credit Trading and recent developments in relation to new world derivative pricing and regulatory changes.
Ability to interact with various stakeholders including Traders, Quants, Technology and Project Governance teams.