Senior Analyst - Market Risk

Working with one of the top financial clients this role calls for a Senior Analyst - Market Risk. Responsibilities:

• Identify and inventory market data proxies used in the VaR system.
• Assess the impact of proxies on VaR/SVaR on a recurring basis based on regulatory requirement.
• Back-test and analyze the effectiveness of proxies and proxy methodologies.
• Onboard new products without sufficient market data history by defining appropriate proxies.
• Propose remediation plan when current proxies are not performing well.
• Maintain inventory of all current market data proxies including previous assessment results and proxy appropriateness track record.
• Ensure new proxies and proxy changes are approved by all stakeholders in the Risk Approval Matrix.
• Provide reporting and recommendation to senior management regarding proxy usage.
• Maintain timely and effective communication with key stakeholders (Market Risk, Risk Models, etc.) regarding proxy usage.

• 3 to 5 years of related work experience, preferably in a financial institution.
• Proficiency in SQL and Python programming
• Graduate degree in Math Finance, Statistics, or a quantitative field would be an asset.
• Excellent understanding of capital market trading products, as well as related valuation/risk management principles and methodologies.
• Excellent understanding of key market risk concepts such as VaR, Greeks, vol/correlation, historical VaR simulation, etc.
• Hands-on experience with data vendor platforms such as Bloomberg.
• Critical thinker with strong analytical and problem-solving skills
• Excellent oral and written communication skills.
• Proven ability to work independently as well as in a team setting.
• Proven ability to prioritize multiple tasks and consistently meet deadlines while ensuring the highest work quality.
• Comfort with ambiguity and ability to work with subject matter experts to fill information gaps.

• Experience working with market data/valuation/risk