Market risk analyst - Credit or interest rates I currently have two market risk analyst positions, one for credit products and one for interest rate derivatives.
The role will require in depth analysis and commentary on a number of market risk topics. You will need experience within:
- VaR analysis, computation from first principles and commentary on breaches and movements.
- Liaison with senior managers and the desk on a frequent basis
- Stress testing
- Back testing
- Experience analysing SVaR (stressed VaR), Back testing, IRC (incremental Risk Charge), CVaR (conditional VaR or expected shortfall)
- Knowledge of the pricing feeds into the risk engine
- Basic pricing such as Black Scholes
- Knowledge around PnL attribution would be a plus as would DRC (default risk charge)
- Greeks including Gamma, Delta, Vega, Theta Rho (2nd order would be a plus) as well as other risk sensitivities (PV01, CS01 etc)
- Knowledge around FRTB and the latest regulations would also be useful to have but not a prerequisite.
You will need:
Experience within investment banking
- Experience working in market risk analysis
- A technical Batchelors degree and ideally an MSc
- Solid VBA and SQL
- A focus on either Credit derivatives or interest rate derivatives
I believe that this is an excellent opportunity for someone looking for their next contract and if you have the relevant experience listed above then please apply
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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