Junior Investment Risk Analyst
Salary: Excellent salary, with bonus and benefits
Investment risk tasks:
- Calculation of global exposure limits, including escalation and management of breaches;
- Preparation of historical VaR calculations against VaR limits, including escalation and management of breaches;
- Preparation of risk factor and risk contribution analysis;
- Assist with preparation of weekly predictive and historical scenario analysis.
Credit risk and Collateral Management oversight:
- Calculation of current and potential exposure of derivatives to monitor counter-party exposure;
- Calculation of exposure from forward foreign exchange contracts across different maturity dates and currency pairs to monitor counter-party exposure;
- Monitoring of collateral balances against derivative exposures to check that our positions are sufficiently collateralised;
- Review of unsettled trades against settlement risk limits, including escalation and management of breaches.
Asset pricing oversight:
- Perform independent derivative pricing verification through quantitative PNL analysis;
- Manage derivative trade population in valuation platform;
- Resolving queries and pricing discrepancies between our price, counter-parties, and administrators;
- Assist other internal teams with pricing queries.
General and ad-hoc tasks:
- Assist in various projects to automate current risk tools using Python and Jupyter notebooks;
- Perform pre-trade option approvals to verify against risk limits and eligibility;
- Assist in answering ad-hoc queries from the business, administrators, and clients;
- Assist in cross-departmental projects and initiatives.
To the extent not already covered, anything else that may be reasonably requested.
- Demonstrate self-awareness and emotional intelligence;
- Demonstrate honesty and integrity;
- Value and respect the contribution of others;
- Maintain high standards of accuracy, demonstrating the initiative and self-discipline to work on your own and take responsibility for output;
- Demonstrate enthusiasm, drive, and commitment;
- Absolute focus on client service.
Skills, knowledge, experience, and qualifications:
- Proficiency in Excel;
- Interest in programming, preferably Python;
- Knowledge of Bloomberg is a plus;
- Interest in financial markets and understanding of relevant asset classes;
- Knowledge of derivatives (FX, Equity, Rates) and their basic pricing models;
- Degree in finance or related quantitative discipline;
- Candidate for CFA and/or FRM.
The client would consider an excellent graduate for this role.