Market Risk Analyst (M/F)

As 2nd line of defence, the Market and Liquidity Risk Management department supervises and independently organises the assessment, the monitoring and the reporting of the market and liquidity risks undertaken by the Bank. In addition, the department is in charge of the management of the dealing room front office tools (Kondor+ and Bloomberg).

The balance sheet management and client flow management activities are under the supervision of the department. Within this framework, the Market Risk Analyst is responsible for:

• Monitoring the market risk metrics within the defined limits.
  
• Computing and analysing the fair values and the P&L generated by the flow management activities (especially BIL Structured Products, Warrants and Foreign Exchange).
  
• Maintaining the internal market risk environment in line with the regulatory landscape.

Your next challenge:

• Daily reporting of the market risk exposures (e.g. sensitivities, VaR and stress tests) and analytical profit and loss to the senior management.
  
• Identify, investigate and document a wide range of market risk issues, including limit excesses and remediations or metrics calibrations.
  
• As part of the monthly accounting process, control fair values and hedge relationships.
  
• Take part in the overall risk reporting process, including SREP, ICAAP and Pillar 3 contributions.
  
• Provide ad-hoc analyses and simulations to support and challenge the 1st line of defence or to address Internal Audit, Internal Validation or regulatory requirements.
  
• Develop solutions and processes to monitor and challenge the derivatives and structured products valuations.
  
• Support the technical/functional testing and analyses required for the implementation of new projects, new products or a new reporting.
  
• Enhance and improve processes in the context of the market risk monitoring.

Your skills: 

• Education (level): master’s degree in finance, economics or mathematics.
  
• An experience of minimum 3 years in a similar function is mandatory
• Languages: fluent in French & English
• Very good understanding of financial products, including plain vanilla derivatives.
  
• Good knowledge of valuation techniques.
  
• Good knowledge of regulatory standards pertaining to market and counterparty risks.
  
• Accounting knowledge is an advantage.
  
• Knowledge of IRRBB framework (measures, methodologies, regulatory reporting…) is also an advantage.
• Advanced proficiency in MS Excel and VBA/SQL.
  
• Knowledge of Kondor+, RiskMetrics, Bloomberg, T24, Moody’s Risk Confidence and Dataïku is an advantage.
• Propensity for teamwork and natural willingness to support the stakeholders within the team.
  
• Rigorous, innovative and curious.
  
• Result-oriented mindset striving to deliver on time.
  
• Ability to handle multiple tasks and prioritize accordingly.