Quantitative Market Risk Analyst Quantitative Market Risk Analyst …

Morgan McKinley
in Singapore
Contract, Full time
Last application, 08 May 21
Morgan McKinley
in Singapore
Contract, Full time
Last application, 08 May 21
Quantitative Market Risk Analyst
Job Summary
  • Singapore
  • Contract
  • BBBH779896
  • Apr 20, 2021
  • Competitive
Job Description
My client, a prestigious and well-known international bank is looking to hire a Quantitative Market Risk Analyst for their linear rates desk.

Quantitative Market Risk Analyst (Contract - Highly extendable/convertible)

Morgan Mckinley is working in partnership with a leading international bank to support their linear rates desk.

Job Description
The role of the Market Risk Analyst is to monitor and analyze P&L and market risk exposure on a day-to-day basis for the linear Rates desk. It involves monitoring and measurement of positions against the bank's limits. In addition, the analysis and calculation of independent valuation adjustments and reserves as well as the front to back P&L reconciliation are part of this role. The team has a joint responsibility to deliver on the quarterly requirements for reporting/control as well as system project roll-outs and regulatory compliance projects.

Key Responsibilities

  • Ensure timely delivery of accurate daily P&L, VaR and Risk report
  • Perform P&L attribution and Risk analysis independently
  • Ensure excesses are rectified/explained or escalated
  • Backtest the VaR and highlight/explain outliers
  • Ensure accurate booking of trades to enable efficient risk management and balance sheet valuation
  • Keep track of market developments/changes and its impact on trading strategy highlighting changes and issues to local management as well as direct discussion with Front Office personnel
  • Ensure Front Office to General Ledger reconciliation is reviewed (Balance Sheet position and P&L)
  • Preparation of monthly risk meeting for Risk and P&L discussions among Front Office, MRM and Finance
  • Perform reserves calculations and independent price testing
  • Perform Fair Value Hierarchy assessment
  • Hypothetical vs Actual P&L reconciliation
Special Duties
  • Assist in system implementations and projects on the desk as part of a squad with global alignment across the Rates asset class within Financial Markets
  • Support in one-off product and trade approval discussion and fact finding together with senior stakeholders in the business
  • Help with new curve constructions and historical data validation
The Successful Applicant

As a successful applicant, you would have the following skills & qualifications:
  • You have a Bachelor/Master's degree in Financial Engineering, Finance, Mathematics or another related field
  • You have good MSOffice VBA knowledge, with ability to work with existing code and encode/troubleshoot simple VBA/macros, basic SQL knowledge is a plus
  • You have strong analytical skills and good communication skills
  • You preferably have experience in Market Risk and Rates / Derivative products
  • You preferably have in-depth knowledge of financial products and trading/booking systems (Summit is a plus)
Referrals are greatly appreciated.

Morgan McKinley Pte Ltd

EA Licence No: 11C5502

Registration No: R1770166

Registration Name: Suhani Malhotra

Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as a notification that you have not been shortlisted.

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