Market Risk Analyst

Description:

Using a number of modeling techniques and data structures, project the potential interest rate risk on short-term earnings and longer term equity and economic value at risk. Monitor potential loss across different types of risks. Establish thresholds, at-risk levels and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.

Role Objectives: Delivery

Run models that project the potential interest rate risk on short-term earnings and longer term equity / economic value at risk, taking into account both a static analysis of interest rate margins and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX. Produce fair value equivalents for asset prices and funding costs using existing pricing data from businesses, counterparties, markets, replacement costs and transfer pricing data. Stress test results. Prepare a gap analysis. Stress test results. Produce a funding analysis that takes into account total cost including deposits, incorporating relevant ops costs. Report on potential loss across different types of risks (interest, convexity, duration, FX, counterparty, etc.). Test thresholds, at-risk levels, and exposure limits by product and business.

Role Objectives: Interpersonal

Develop relationships with units such as IT to improve data gathering and model construction. Support the unit's work with industry specialists, country risk managers, credit review / analysis staff, treasury staff and relationship managers to determine and evaluate if potential risks are properly reflected in the models. Begin to network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends and how they are reflected in models.

Role Objectives: Expertise

Demonstrate a solid knowledge in financial analysis, especially elements of interest rate analysis such as yield, convexity, duration, and FX. Demonstrate general understanding of financial markets and economics to help ensure models take into account current and changing conditions and to create a valid set of variables and scenarios. Have solid risk modeling skills to take into account various types of risk, correlation between risks and idiosyncratic risk. Have a working knowledge of information technology, data management and statistical analysis to create meaningful modeling and analysis. Communicate analytical data effectively.