Senior Dealing Room Risk Manager

Responsibilities:

• Oversight of Traded Market Risk, VaR, Expected Shortfall, and Control Limits
• Development of internal models and limit frameworks for market risks
• Enhancement of stress testing framework involving interest rate risk
• Support Market Risk in it's IBOR transition programme
• Mitigation of unexpected losses from Traded Market risks. Be conscious of risk factors that are not captured in VaR calculations or valuations and apply proxies to those risk factors and assess estimated VaR and valuation impact regularly.
• Liaise and support Front Office and Finance on all matters relating to the valuation of rates and FX products
• Ensure market risks are appropriately identified, assessed, analysed, measured, monitored and controlled. Including DCL limits, VaR, stress testing, back testing, market liquidity analysis, provisions, input into capital calculations, general reports and regulatory returns.

Requirements:

• Excellent tertiary qualifications within a Financial or otherwise relevant discipline
• At least 7 years' experience in Market Risk (analysis or oversight) preferably in fixed income, FX or interest rates options.
• Strong understanding of recent developments in market risk with regard to new world derivative pricing and regulatory changes.
• Demonstrated I.T skills - Advanced Excel, VBA and SQL

For further information about this opportunity please contact Olivia on 0409 356 856 or simply click APPLY.

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