Market Risk Analyst

The market risk analyst is a position within Risk management of Calyon Financial reporting to the Counterparty Monitoring & Control / Market Risk Group Manager. This position will be globally responsible for all market risk analysis, limits and methodologies. In addition, this position must ensure the implementation of the all risk policies and procedures as defined by Calyon (bank) DRCP (risk management).
REQUIREMENTS
•Ensure market risk limits, products and maximum tenors are defined utilizing Calyon bank formats for all OTC product lines and treasury activities renewable on annual basis or more frequently as required
•Liaise with Calyon (bank) / DRCP / DRM / SME (methodologies department) for counterparty risk, market risk and pricing methodologies to be utilized by Calyon Financial group
•Develop and maintain global pricing matrix for each product including pricing methodology and market risk sources
•Define and implement stress scenarios utilizing the GlobalRisk software
•Daily analysis and distribution of concentration reports for futures, foreign exchange and CFD customers
•Analyze specific products and exchanges as required
•Administrative responsibilities for the New Activities and Product (“NAP”) Committee process including scheduling meetings, attending committees, review and distribution of minutes, follow-up of outstanding issues / conditions and utilization of the NAP Lotus Notes database
•Formulation of the Risk management opinion to be presented to the NAP Committee requiring analysis, due diligence and coordination with various departments
•Create and maintain global product database
•Back-up for the market activities monitoring analyst’s daily function of monitoring market risk limits and error / holding accounts
•Prepare and update market risk policies and procedures as required
•Special projects which may be assigned

Qualifications include:

•Bachelors degree in accounting, economics, finance or statistics
•CFA / FRM / Masters degree preferred
•3 - 5 years of risk management experience
•Working knowledge of risk systems, VaR and stress testing
•Self-starter with ability to work under minimal supervision
•Strong quantitative skills are required
•Excellent verbal and written communications skills
•Microsoft Office including Excel, Word and PowerPoint