About this role
This senior analyst role provides specialist market risk management analysis to monitor and manage market risk exposure for financial products. The role enforces risk levels and trading limits, performs validation, and produces daily and analytical risk metrics including stress testing and VaR.
Key Responsibilities
- Perform daily risk exposure reports (MTM positions, volumetric exposures, change drivers)
- Enforce allocated risk levels and adherence to trading limits and risk control policies
- Implement validation procedures for all transactions, including back-testing and stress testing
- Calculate MTM and risk metrics such as VaR of portfolios and validate/model forward curves for commodity exposures
- Contribute to market risk policies and support SDST scenario development for regulatory and internal capital calculations
Technical Overview
The technical scope includes daily risk exposure reporting (MTM positions, volumetric exposures, change drivers) and quantitative risk methods such as back-testing and stress testing. It also includes calculating MTM and risk metrics like VaR, validating and modeling forward curves for commodity exposures, and supporting Scenario Design and Stress Testing (SDST) within ERM.
Ideal Candidate
The ideal candidate is a senior risk analyst with deep market risk experience, including daily risk exposure reporting and independent performance of back-testing and stress testing. They can calculate MTM and portfolio risk metrics such as VaR, validate/model forward curves for commodity exposures, and support Scenario Design and Stress Testing (SDST) activities for ERM and regulatory needs.
Must-Have Skills
market risk management analysisperform back-testing and stress testingcalculate MTM and risk metrics such as VaR of portfoliosvalidate and model forward curves for all commodity exposuresdaily risk exposure reportsenforce allocated risk levelsenforce adherence to trading limitsimplement validation procedures for all transactions
Required Skills
market risk management analysismarket risk exposuretrading limitsrisk control policies and proceduresvalidation proceduresdaily risk exposure reportsMTM positionsvolumetric exposureschange driversback-testingstress testingMTMrisk metricsVaR of portfoliosforward curvesvalidate and model forward curvescommodity exposuresmarket quotesMTM assessmentmarket risk policiesScenario Design and Stress Testing (SDST)stress scenarioscapital and liquidity stress buffers
Hard Skills
market risk management analysismarket risk exposure managementrisk control policies and procedurestrading limits adherencevalidation procedurestransaction validationdaily risk exposure reportsMTM positionsvolumetric exposureschange driversback-testingstress testingMTM calculationrisk metrics calculationVaR of portfoliosportfolio risk measurementvalidate forward curvesmodel forward curvescommodity exposures market analysismarket quotes access for MTM assessmentmarket risk policies developmentscenario designstress scenario narrativeseconomic and financial analysisidentify risks/factors to be stressedproject stress shockscapital and liquidity stress buffersregulatory requirements supportCredit riskMarket riskTreasury riskOperational Risk
Soft Skills
specialist analysispartnership across risk stripescross-functional collaborationcommunicationdetail orientationday-to-day executionoversight support
Keywords for Your Resume
Senior AnalystEnterprise Risk Management (ERM)market risk management analysismarket risk exposureallocated risk levelstrading limitsrisk control policies and proceduresvalidation procedurestransactionsdaily risk exposure reportsMTM positionsvolumetric exposureschange driversback-testingstress testingMTMrisk metricsVaR of portfoliosforward curvesvalidate and model forward curvescommodity exposuresmarket quotesMTM assessmentmarket risk policiesScenario Design and Stress Testing (SDST)stress scenarioscapital and liquidity stress buffersregulatory requirementsCreditMarketTreasuryand Operational Risk
Deal Breakers
Must be able to perform back-testing and stress testing, Must have experience calculating MTM and risk metrics such as VaR of portfolios, Must be able to validate and model forward curves for commodity exposures
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