The Chief Risk Office function has Group-wide responsibility for the management and control of all credit, market, operational, enterprise and liquidity risks and has the responsibility of continual development of methods for risk measurement, frameworks and creating a bank wide strong risk culture. Bank has been named ‘Bank Risk Manager of the Year’ by the leading publication risk.net for the second consecutive year (2020 & 2021).
As a Risk Analyst in Market Data Strategy and Analytics (MDSA) team, that falls under the gambit of Market Risk Management which provides an independent view of market risks to Bank's senior management and manages Bank's Market Risk position in an independent and neutral way, you will partner with the Market Risk Managers and Strats to define Market data solutions to calculate VaR accurately. You will also be part of the strategic projects to improve the operational efficiency and accuracy of the metrics.
What You’ll Do
- Test new market risk methodology functionalities related to the IBOR transition to Risk Free Rates (ESTER, SOFR, etc.) for VaR and FRTB IMA metrics
- Creating, implementing, and documenting quantitative risk models and enhancements
- Driving discussions and defining requirements with Strats, Risk Methodology and IT for generation of historical time-series for more exotic risk factors
- Providing quantitative and qualitative justifications for modelling choices, assumptions made, data selection, reliability of model inputs such market data
- Validating model choices by theoretical proof and support them with empirical evidence (e.g. statistical analysis of historical market data or back-testing)
- Develop reports or analytical tools to facilitate robust testing process, including automation in order to drive down costs and improve process.
- Business & Functional testing skills: ability to write runbooks; Ability to present the results data and any variances clearly to Risk Managers
- Supporting production team to enable a seamless operational process to deliver accurate market data.
Skills You’ll Need
- Engineering, Economics, Statistics or other numerate discipline with excellent project experience and grades in quantitative and numerical coursework
- Excellent quantitative and analytical abilities as demonstrated by grades in mathematics/physics/statistics/engineering mathematics,
- Knowledge of financial pricing models, risk models would be desirable
- Good high level programming skills using Python and experience in numerical coding will be helpful
Skills That Will Help You Excel
- Excellent communication skills (written and spoken)
- Self-motivated to bring tasks to closure
- FRM/CFA certification