(Senior) Market Risk Analyst (M/F)

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As 2nd line of defense, the Market and Liquidity Risk Management department supervises and independently organizes the assessment, the monitoring and the reporting of the market and liquidity risks undertaken by the Bank. In addition, the department is in charge of the management of the dealing room front office tools (Kondor+ and Bloomberg) and interfaces.

 

The (Senior) Market Risk Analyst will play a transversal role in maintaining, designing and implementing solutions for market and counterparty risk reporting and trading activities. He will support the team to cope with the complex technical environment, business evolutions and regulatory requirements. The position therefore requires a strong understanding of financial instruments and risk management techniques, and proven technical and software skills. 

 

Risk reporting solutions:
  • Design solutions encompassing products valuation, market data and deal flows, and positions reconciliation to monitor the dealing room activities.
  • Maintain and develop tools for regulatory requirements (e.g. own funds requirements under FRTB and EMIR regulatory Initial Margin).
  • Manage and optimise reporting platforms (Dataiku and Business Object) and front office systems (Kondor+ and Bloomberg).
  • On demand, analyse and provide solutions for daily reporting issues encountered by market risk analysts or dealing room officers.
Risk analysis:
  • Control and challenge pricing and sensitivities of complex financial instruments (e.g. structured products).
  • Perform risk metrics simulations for new market trades, hedging operations, or business evolutions.
  • Participate to regulatory exercises pertaining to market and counterparty risks (e.g. EBA EU-wide Stress Tests).
  • Strengthen the internal procedural framework by developing the methodological and operational documentation.

Ad-hoc requests and projects:
  • Support the team to implement business and IT projects (e.g. Kondor+ migration).
  • Contribute to transversal assessments (costs, benefits and opportunities) for new challenges in the department in collaboration with IT and external providers.
  • Conduct ad-hoc analysis as required by senior management and regulatory authorities.
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