Portfolio Market risk - VP

Eximius Finance
London, United Kingdom
80,000 - 120,000
23 Jul 2022
19 Aug 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
The role is responsible for the assessment, analysis and reporting of Advanced Market Risk and XVA Risk own funds capital calculation and will play a central role in delivering outcomes on a wide variety of strategic initiatives and regulatory developments, particularly Trading-activity Wind Down/Recovery and Resolution, Fundamental Review of the Trading Book, regulatory requests and self-assessments.

  • Lead, participate and contribute to efficiencies and enhancements of Market Risk Capital ((VaR, Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Risks not in VaR) regulatory reporting, including daily, monthly, and quarterly reporting (COREP and Pillar 3), while maintaining robust process and control.
  • Critically review and evaluate the adequacy of the capital held for the Market Risk and XVA Risks for the Firm's UK and European legal entities and communicate key risks to senior management on a regular basis.

Required skills:
  • Experience within a complex trading environment
  • Quantitative / analytical background
  • Expert understanding of Market Risk management fundamentals including products, trading strategies, booking models, risk data and metrics, risk and capital models/methodologies, and risk systems
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