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My client, a top tier financial institution is looking for a Market Risk Analyst to join their Interest Rate team based in London.
Assist in the day-to-day risk management of interest rate products, primarily interest rate swaps and futures.
Involved in enhancing of the existing risk management framework and processes including developing in-house tools
Involvement in the setting of margin rates
Risk assessment of new and existing products (including user acceptance testing)
Liaison externally with members and internally with other departments
Ensuring timely and accurate production of all management information relating to the risks in the Rates service
Understanding of the detailed calculations which underpin the risk policies applied to the service; including the assumptions inherent within the initial margin algorithm and the curve building methodologies.
Produce regular reporting to identify exceptional positions; recommending further action as appropriate including liaising and requesting further information from member firms.
Analysing and highlighting changes to the risk profile within the service to internal and external stakeholders of the business
Execute and ensure receipt of all margin calls made by the Rates Derivatives Risk team
Responsible for building interest rate yield curves, validating futures settlement prices and good system knowledge of sources used to build curves (Bloomberg & Reuters).
Understanding of discounting, implied forward curves and NPV's (knowledge of how swaps are valued) and experience quantifying P&L by attribution
Accurately update static data within the curve construction process and ensure all non daily processes (including futures rolls) are performed
Degree (or equivalent) or above of an economic or mathematical bias;
Experience in a risk management environment within an investment bank or similar;
Specific knowledge of OTC and exchange-traded interest rate products
Strong analytical, numerical and problem solving skills, with good attention to detail;
Advanced numerical competency (advanced Excel user and/or VBA Macros);
Ability to manage workload and priorities for themselves and demonstrates ability to work to deadlines;
Good communication skills, both oral and written;
Self-motivated and willing to develop own opinions and to convey these to contribute to the overall development of the risk management department.
Prepared to accept a steep learning curve;
Ability to work alone or as part of a team
Please sent your CV to email@example.com
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.