Market Risk Analyst – GMRU London
Core
Calculate market risk metrics (VaR, SVaR, IRC, FRTB) and monitor P&L attribution for Global Credit portfolios and new Credit Solutions within the Treasury Room.
Role type
Market Risk Analyst (Global Markets)
Builds
Risk metrics, P&L attribution reports, and system tools for Credit Market Making, Underwriting, and Derivatives.
Domain
Banking / Financial Markets / Market Risk
Deliverable
production ML models | dashboards & analysis
Required skills
SQL, Python, R, Excel, Financial Markets knowledge, Financial Models, VaR calculation, P&L Attribution, Backtesting, System Configuration
Preferred skills
Big Data analysis, Algorithmics and Mentor system expertise
Technologies
Murex, Star, Algorithmics, Mentor
Responsibilities
Monitor and calculate MIRM sensitivities, VaR, SVaR, and map monitoring; Calculate IRC and FRTB SA metrics (SBM, RRAO, DRC); Perform daily backtesting of internal models; Resolve incidents in Front Office and Risk systems; Develop tools to improve process efficiency; Contribute to Credit Solutions projects.
Seniority
Junior to Mid-level, hands-on IC
