Market Risk Analyst

Job Purpose:

Market Risk Analyst is responsible for :

- the production of P&L and Market Risk indicators related to Capital Markets activities ;

- the consistency of periodical reporting (internal and external) ;

Money Market, Interest Rate Derivatives, Debt / Credit Markets and Foreign Exchange are the main Product Lines involved.

Responsibilities:

 Production, analysis and reporting of the P&L figures

 Production, monitoring and reporting of Market Risk indicators and their associated limits

 Market Data production and validation for valuation (based on real-time sources: Reuters / Bloomberg)

 Develop, design, and implement FX and IR derivative models, with a primary focus on options, swaps, forwards/futures (vanilla and exotic)

 Work closely with multiple traders and provide support

 Validation of the P&L with sensitivities

 Backesting of the VaR

 Support any department in term of market risk purpose if needed

 Detection of off-market rate transactions if any

 Measure of Hedge effectiveness

 Identify any breach of limit and take action (reporting)

 Mathematical and financial knowledge

 Technical knowledge of derivatives and structured products, the methods for their valuation and monitoring, and the risks created

 Strong proficiency with Excel & VBA

 Excellent analysis & problem solving

 Knowledge of Kondor+ (FO System) and Global View (Risk system)

 Financial Systems: Reuters / Bloomberg

 Discipline, autonomy and respect of deadlines

 Ability to work productively in stressed environment

 Ability to produce clear documentation and procedure

 Fluent in English

Masters in Mathematics & Finance or Equivalent