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1) Build rapport and work closely with front office to analyse and understand the market risk exposures, mainly well versed in credit, equity & interest rate products.
2) Assess completeness and accuracy of market risks from a holistic perspective - VAR, greeks and capital impact;
3) Develop and lead business specific stress testing scenarios by studying trading strategies in order to discover hidden risks in portfolios;
4) Identify and initiate projects and processes that aid in improving the measurement and attribution of VaR and other monitoring tools lying within the team's scope;
5) Develop, display and disseminate a thorough understanding of daily position and market changes that impact various risks of the portfolio
6) 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;
7) Lead market risk projects and support bank wide initiatives, for example Fundamental review of trading book, SOR reform etc
1) Sound knowledge of Treasury product (plain vanilla and derivative) and the financial market mechanism.
2) Coaching and mentoring experience
3) Good communication and writting skills
4) Relevant experience of 5 to 7 years
5) Proficiency in Excel VBA, Python, Murex system and Qlikview.
6) BSc or MSc degree in disciplines such as economics, engineering, mathematics preferred.