Market Risk Analyst

TITLE: Market Risk Analyst

DEPARTMENT: Risk Management Department

LOCATION: New York, NY 

FLSA STATUS: Exempt

SALARY: $120k and higher, DOE

JOB SUMMARY: 

The Market Risk Analyst reports to the Chief Risk Officer and is responsible for measuring, monitoring, controlling, and reporting the Bank’s market risk exposure.

ESSENTIAL FUNCTIONS & ACCOUNTABILITIES

•  Complies with all our Company’s legal and regulatory requirements, adheres to the Bank’s Code of Conduct, attends regular periodic training on core Bank policies, and reports any known or suspected violations of the Code of Conduct to the bank’s management.

•  Monitors, analyzes, and reports market risk, including ad-hoc analysis concerning market risk and using complex modeling techniques and quantitative analysis to determine value at risk (VAR) measurements; works with other departments to assess risks associated with specific proposed or actual transactions as requested. 

• Daily monitoring of risk, concentration, stress, and Value-at-Risk exposures against limits and risk appetite while remaining constantly aware of current market dynamics

• Liaising with trading desks concerning exposures, new business, and market activity, performing in-depth analysis of books and trading strategies, and implementing appropriate Stress Testing analyses;

• Ensure risk completeness and accuracy, ensuring the limit framework and appetite are commensurate with infrastructure, and developing Risks not in VaR and stress mitigates if required

• Discuss and challenge the Front Office concerning exposures, new business, and market activity

• Build, maintain, and improve market risk reporting infrastructure and tools, including the automation and streamlining of existing processes;

•   Prepare weekly business-level risk review report; Support the preparation of committee materials and other reports related to the Bank’s market risk exposure

• Work closely with the other departments to ensure trades are accurately captured and processed through the risk systems;

• Implement and perform data quality controls of the market data captured by the Risk systems;

• Evaluate proposed actions to determine business risk; monitor loss levels arising from credit and operational risk factors.

•  Presents recommendations to reduce and control risk exposure and improve current processes and procedures relating to risk.

• Evaluate sources of actions and ensure timely and thoroughly executed business decisions relating to risk management and control.

*   Specific duties and responsibilities may vary based on departmental and Bank needs. Other duties similar to the above and consistent with the knowledge, skills, and abilities required for the position may be assigned

MINIMUM QUALIFICATIONS:

• • • Bachelor’s degree (or equivalent) with a concentration in finance, economics, statistics, mathematics, Physics, actuarial science, or a quantitative finance-related field; advanced degree preferred

    • Minimum of 4 years experience performing financial analysis and business reporting and monitoring business risk; proven experience in project management

    •  Strong experience in markets-related roles with an emphasis on market risk management

    • A strong understanding of market risk controls and governance frameworks

    • Familiarity with current regulatory initiatives such as Fundamental Review of Trading Book, Volker, stress testing

    • Experience building and maintaining complex financial applications

    • Strong oral and written communication skills

    • Competency in Microsoft Word, Excel Access, and Visual Basic

    • Strong analytical and problem-solving skills

    • Proven statistical, spreadsheet, and simulation skills