Metrics Market Risk Analyst

METRICS MARKET RISK ANALYST (JOB NUMBER: 2202RSK9948)

**About the job**

RISK GM Metrics Market Risks is responsible for the transversal processes that provide high quality risk analysis and/or the control of Market Risks and limits.

This responsibility is both for the day to day operation and the long term transformation of the processes so that they are enhanced through the use of new technologies where appropriate. The team primarily focuses on established processes such as Value-At-Risk and Limits monitoring, which in time be expanded to other market risk metrics. The RISK GM Metrics Market Risk team has regular dialogue with other RISK GM streams, Chief Data Officers, RISK Systems teams, RISK Reporting teams and Front Office teams across all areas of Global Markets with the aim of ensuring that there is complete and accurate market risk representation and reporting.

In addition the team manages the production and distribution of market risk reports across the organisation, covering all Business Lines and market risk types. As part of this responsibility, the team seeks to improve the current reporting framework to harmonize and automate processes where possible.

The analyst are also in charge of initiatives to enhance anticipation, first level analysis and reporting around market risks.

**Your Main Activities Are**

The role encompasses an ongoing objective to migrate the monitoring framework into industrialised solutions with a keen oversight on the quality of market risk data. A key feature of the role is also the collaboration and coordination with monitoring and production teams covering these processes located in other hubs/regions.

Further details:

- Monitoring and reporting of market risk metrics over Global Markets Business Lines activities (Europe, Global)
- Manage the day-to-day operations:

- for Basel 2.5 metrics such as Value-At-Risk (VaR), Stressed Value-At-Risk (sVaR) and Incremental Risk Charge
- for the main sensitivities controlled and monitored with Market Risk Limits,
- for other market risk metrics which will be added to the scope for example Global Stress Tests, sensitivities/deformations outside of limits, etc..
- Clear communication with used of agreed templates to RISK GM and Global Markets concerning the results of the daily monitoring and excesses.
- Notification of excesses and escalation according to the Market Risk Limits procedures.
- Analysis and Review of market risks metrics and excesses
- Provide metric variation analysis on a regular or ad-hoc basis to inform related business processes; for example to provide the initial analysis of a requested temp/perm limits.
- Follow-up on the progress of requested temp/perm limits approvals.
- Support the periodic reviews of limits in conjunction with the limits calibration process.
- Contribute to developments around the monitoring of VaR/sVaR, explanation of movements and back-testing event investigation enhancements.
- Propose enhancements to the Market Risk Metrics framework in order to drive further efficiency and consistency.
- In collaboration with RISK GM Digital, contribute to the transformation of the production processes
- Improve the existing monitoring tools with a view to improved efficiency and consistency.
- Participate to the setup and development of dynamic dashboards and tools.
- Provide an oversight on Market Risk data availability and quality
- Monitor and report risk data quality issues.
- Manage the daily VaR signoff process at FBL/VR desk level and coordinate the aggregation and sign-off at GBL level.
- Promote the use of data governance tools to monitor data quality.
- Provide quantitative and qualitative support for the Market Risk Operational Committee or other forums such as the Data Monitoring Committee (DMC).
- Contribute to the identification, escalation and resolution of data quality and data integrity issues.

**Profile and Skills to Success**
- Effectively deliver complex oral and written messages in a clear, structured, accurate and concise manner, based on facts
- Motivation to collaborate and share ideas and knowledge with team member
- Capacity for critical thinking, expressing good judgement and a sense of responsibility
- Ability to make clear and timely decisions which are based on judgement on ’business as usual’ topics.

**Skills and Qualifications**
- Experience in MS Office tools including VBA as well as an interest in developing practical solutions to data analysis problems. Additionally some knowledge of computing programming languages (Python or R for instance).
- A previous experience in financial market
- English Fluency

**About the Team**

The RISK department aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy. RISK teams engage in an upstream dialogue with the business to better understand their strategy, objectives,