We are looking for an experienced Market Risk Business Analyst to support upgrades, migrations, and enhancements across their Market Risk technology stack. This role sits at the intersection of technology and market risk, requiring strong SQL capability, capital markets knowledge, and hands‑on experience configuring market risk calculations.
About the Role:
You will partner with Front Office, Treasury, Market Risk, and technology teams to uplift the bank's risk management platform. The position involves driving enhancements, validating risk measures, resolving configuration issues, and ensuring accurate and timely delivery of market risk outputs across asset classes.
Key Responsibilities:
- Lead enhancements and optimisation activities within the bank's Market Risk platform.
- Support functional testing and parallel runs to compare valuations and risk outputs between systems.
- Validate and analyse market and reference data across products such as Bonds, IR Futures, Commodities, Caps/Floors, Swaptions and more.
- Maintain and update risk databases; build controls to ensure data quality and lineage.
- Investigate and resolve issues related to system configuration, pricing, sensitivities, and market data in the FIS risk engine.
- Produce and review documentation covering market data, system configuration, reporting, and related areas.
- Work directly with users to gather and refine business requirements.
- Own the configuration of Market Risk calculations, stress testing and back‑testing reports.
- Improve existing methodologies and risk models to enhance accuracy and performance.
- Perform analysis and validation across key Market Risk measures (VaR, PV01, CR01, PnL vectors).
- Coordinate user testing and lead functional validation activities.
- Troubleshoot and debug complex issues related to Market Risk computations.
- Collaborate with Risk, Front Office, and Technology teams to ensure smooth integration of risk measures.
- Mentor junior team members and contribute to ongoing automation and process improvement.
Required Skills & Experience:
- 8+ years as a Market Risk Business Analyst.
- Strong expertise across Market Risk models, FRTB, and asset classes (Money Markets, Fixed Income, FX, IR derivatives).
- Deep understanding of pricing concepts, curves, and option/derivative valuation.
- Proven experience configuring, developing, and optimising Market Risk calculations.
- Hands‑on experience with running and validating risk computations (revals, normalised runs, etc.).
- Robust stakeholder engagement skills and experience validating risk outputs with the business.
- Extensive experience with Market Risk measures such as VaR, PV01, CR01, and PnL vectors.
- Strong SQL capabilities (Oracle or SQL Server) for data analysis and validation.
Nice to Have:
- Familiarity with Unix/Linux and scripting languages (Shell, Python, etc.).
- Experience with OTC trading platforms such as Murex, Calypso, or FIS.
- Knowledge of GIT, CI/CD tools, and modern development practices.
- Understanding of regulatory risk frameworks including FRTB and Basel.
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