Market Risk Analyst

Location: Sydney CBD, New South Wales
Contract Type: Permanent
Specialisation: Banking & Financial Services
Salary: AU$105000 - AU$120000 per annum
REF: BBBH227196_1540533633

This is a fantastic opportunity to join a leading Australian bank's Market Risk. This is an opportunity to lead the design and build of a solution that makes significant changes to the bank's operating model and strategy across all trading and treasury activities

Nature of the project and opportunities

The opportunities focus on designing, building and testing solutions to enable the bank to meet its reporting obligations as well as driving enhanced risk based decision making. Key areas of focus include:

  • Replacing VaR and Stressed VaR with ES (Expected Shortfall Methodology) to capture and tail risk
  • Implementation of Standardised Approach Models for the calculation of Correlation Trading market risk capital
  • Non-Modelable risk factors
  • Desk-Level P&L Attribution, Back-testing and Model Review
  • Intra-day Market Risk monitoring and measurement
  • Enhanced disclosure of desk level MR Capital Charges including Standardised Approach calculations
  • Disclosure of consolidated market risk RWAs, P&L Attribution and Back-testing


Due to the nature of the project and the multiple roles on offer; every opportunity has a different area of focus. There are currently three streams that focus on the following:

  • Inputs Stream: Creating the interface between the data and the risk engines and developing a new visual risk analytics capability
  • Quant Stream: Models/Risk Engines
  • Outputs Stream: Regulatory Deliverables

Background

  • Market Risk /Product Control / Analytics /
  • Strong Excel skills