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Market Risk Analyst LIBOR

Robert Walters
Job LocationLondon
EducationNot Mentioned
Salary£360.00 - £440.00 per day
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypeTemporary, full-time

Job Description

A global Investment Bank based in London is current looking for a Market Risk Analyst to join their Market Risk Management Division, focuse on LIBOR.This is an end to end market risk analysis role supporting the Senior Analyst on risk monitoring against control limits, ensure adequate controls and provide key MI on Market risk metrics (VaR, SVaR, Stress testing, DPRM, IRC)Key duties in the Market Risk Analyst- LIBOR will include:

  • Ensure that accurate risk is reported against all limits set in the trader mandates.
  • Maintain strong internal controls and a well controlled reporting environment.
  • Work with other team members globally to expand best practices.
  • Work closely with Market Risk Managers to provide analysis and support.
  • Implement additional risk reporting and analysis in conjunction with Market Risk Management requirements.
  • Provide commentary and analysis on Regulatory Capital Charge inputs, including Stress Test and PRA requests.
  • Work with wider team to review the risk models (IRC, products pricing, curve calibration)
    • A successful application on the Market Risk Analyst- LIBOR role will include:
  • Proven knowledge of several product types (FX, Rates, Credit), requiring a deep understanding of the products and the risk factors involved. Role will require a comprehensive understanding of market risk.
  • Understanding of LIBOR principles.
  • An understanding of the Rates, Credit, Structured Credit Product business, IRC, Stress Testing and the accounting context is required.
  • Strong understanding of Market Risk and a good understanding of the Market Risk Management and Control function and its role within the wider Group Risk context.
  • Thorough understanding of risk management, Value at Risk, sVaR, PVBP, RWA and Stress Testing.
  • IT skills, (VBA, SQL, Matlab, C++ are required)
  • Advantageous - Principals of hedging and derivatives trading strategies and experience in Summit, Spear, VA, Murex, Raven, Castor, and Tiger systems
    • Should you meet the requiremnts, please click to apply! Required skills
  • LIBOR
  • VaR
  • Stress testing
  • market risk analysis

    • Keyskills :
    LIBOR VaR Stress testing market risk analysis

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