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General Description: The Risk Control & Analysis team (MRM-RCA) within Market Risk Management (MRM) is tasked with ensuring that that all market risks arising from the trading and asset liability management activities of Global Treasury are properly identified, measured, monitored, analyzed and where necessary, escalated in an appropriate and timely manner. The role of MRM-RCA also spans stress testing and back testing Treasury's portfolios in order to aid risk discovery and understand the performance of the bank's Value-At-Risk (VaR) model. Role
Overview: This is a 6 months contract. The candidate will work closely with the trading room positions in order to understand the portfolio, its key risk drivers given the dynamic market environment and projects. Successful candidate will perform the following key functions:
Monitor risk against pre-set risk limits. This entails preparing the daily risk reports and assessing the completeness and accuracy of market risks.
Analyze risk reports by explaining the trading positions/activities, understanding trading and hedging strategies in light of ever-changing market conditions.
Analyze P&L reports by attributing the performance to the underlying risk factors. This involves understanding the risk drivers of the various products vis-à-vis changes in market rates/prices.
Support the team in regulatory and system upgrade projects.
Sound basic knowledge of Treasury product (plain vanilla and derivative)
Good understanding of the financial market mechanism
Strong analytical ability - Proficiency in MS Excel and MS Access
Proficiency in VBA or programming experience is an added advantage