Core Responsibilities – On monitoring and reporting
Review the data and reports related to the following -
Tracking risk metrics like Value-at-Risk (VaR), Expected Shortfall, and sensitivity analyses on a daily basis across trading and banking books.
Limit management monitoring for exposure against established risk limits, promptly escalating any breaches to senior management.
Reporting & Compliance: Prepare and/ or review daily, weekly risk dashboards for internal consumption and regulatory requirements.
Additional responsibilities – may arise
Stress Testing: Conduct or review output from scenario analyses to gauge how adverse market movements, interest rate shifts, and liquidity crises affect the bank's capital adequacy and profitability.
System & Model Validation: Assist in back-testing risk models, ensuring the accuracy of market data, and supporting the upgrade of treasury and risk
Qualifications & Skills
Education: Bachelor’s or Master’s degree in Finance, Economics, Financial Engineering, Mathematics, or a related quantitative field.
Certifications good to have: FRM, CFA
Technical Skills: (Mandatory) Advanced MS Excel is a baseline requirement. (Good to have) Proficiency in Python, SQL, or R and familiarity with risk engines and Bloomberg/Reuters terminals are highly advantageous
Financial Knowledge:
Deep understanding of global markets and instruments (FI/ Derivatives, FX, Equities)
Deep understanding of market risk concepts and models