Market Risk Senior Analyst

• Develop methodology for quantitative analysis required on various work streams for Basel 2.5 implementation within the bank
• Provide robust, controlled, reusable, and scalable analytics capabilities to address specific Legal Entities requirements (VaR breach analysis, Backtesting, ad-hoc analyses requested by other teams)
• Produce high quality documentation for models, interact with the model validation team
• Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements
• Interact confidently with other risk management teams, governance teams, the front office, technology and control groups to implement improvements to the market risk models and to support any related production processes
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators
• Pro-actively develop deep knowledge of the forthcoming Market Risk regulations of the Fundamental Review of the Trading Book (FRTB) and its application in the legal entity

• Experience in Risk and knowledge of one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics
• Experience in developing complex end-to-end models, including: identifying key steps, data analysis, ability to provide critical insights and original solutions
• Expert level hands-on IT skills (for example: Python, C/C++, SQL, Excel, and other quantitative analytics software) are required
• Excellent oral and written communication skills. Ability to communicate with people at all levels of seniority in the organization
• Ability to listen and understand stakeholders’ needs and find effective/comprehensive solutions
• Educated to postgraduate level (preferably MSc or PhD in financial, mathematical or similar quantitative field), with an excellent academic record

Experience in Risk and knowledge of one or more of the following: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer
• Paid Parental Leave Program (maternity and paternity leave
• statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund
• Additional day off for volunteering
• Cafeteria/ flex benefit
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees