Primary Responsibilities:
โช Perform day-to-day risk management of trading positions, analyze large risk positions, P/L events, and VaR movement, ensure limits are well monitored and properly reported, identify material risks, and propose risk mitigations.
โช Create and produce/automate risk monitoring reports (daily, weekly, monthly). Perform stress tests and scenario analysis using RiskMetrics.
โช Ensure VaR and capital calculations are correct and reviewed in a timely manner.
โช Development and review of market risk models or system functionalities to perform necessary analysis on the market or the position movements.
โช Conduct ad hoc investigations and analyses into risk, market, or modeling issues as needed.
โช Perform regular price verification and analysis to ensure pricing to fair value.
โช Liaise regularly with FO trading in the implementation of risk controls and ensure that issues identified (limit breach, incomplete or inadequate risk 6monitoring, system problems) are addressed in a timely manner.
โช Provide reporting to risk committees, Supervisory Board, and Regulatory stakeholders.
โช Collaborate with other corporate functions on issues of common interest (e.g., Finance on bookings, valuation, P&L, operations, etc.).
Experience:
The ideal candidate will possess some or all of the following professional or Personal competencies
โช Experience in (FX), fixed income, and interest rates derivative products. โช Experience in risk quantitative modeling.
โช Experience in asset & liability management. โช Understanding of macro-economic developments in emerging markets and their impact on FX and interest rates.
โช Result-oriented, international outlook, and mindset, pro-active and accountable personality who sets and meets objectives and is able to work under pressure.
โช Enthusiasm, drive, and determination; excellent communication and social skills, comfortable in developing relationships at all levels.