Market Risk Analyst (H/F)

Our client is the longest-standing and leading banking institution in Mauritius. Over time, they have diversified their business activities across market segments and geographies. The are actively involved in various markets across sub-Saharan Africa, while remaining on alert to relevant growth opportunities across the continent and beyond.

Within the Risk Strategic Business Unit of the company, the Market Risk & Product Control BU exercises independent oversight and control over traded and non-traded market and liquidity risk exposures.

By joining the team as Market Risk Analyst, you will be responsible in coordinating the manipulation, analysis and reporting of Traded/Non-Traded Risk data and models and prepare risk reports for submission to senior management, Board Committees and regulatory bodies. You will also be responsible for Liquidity/Market/Counterparty Risk monitoring and reporting, as well as other general structural market risks.

If you are looking for an exciting place to work and you are an analytical and inquisitive individual with strong analytical skills and an interest in market/treasury risks, we want to hear from you.

• Prepare, reconcile and adjust liquidity and other structural market risk reports to be submitted to Central Bank and for external disclosure and audit purposes. Reports include but are not restricted to Liquidity Coverage Ratio (LCR), Net
• Stable Funding Ratio (NSFR), Maturity Mismatch Profile of Assets and Liabilities, Interest Rate Risk in the Banking
• Book, Risk-Based Supervisory Reports, Annual Report etc.;
• Conduct analysis and prepare internal Committees presentations on liquidity risk and structural market risks;
• Access Trading, Asset and Liability Management and other systems for timely retrieval of all reports, exposure verification and monitoring and follow-up with Engineering Chapter with regards to any tickets raised;
• Prepare, on a monthly or ad-hoc basis, statistical history of target utilisation and breach occurrences for input into calibrating Traded/Non-Traded Risk targets for internal Committee validation;
• Monitor metrics against approved targets, investigate and report any breaches;
• Perform continuous monitoring of Traded Market and Counterparty Risk limits on a daily basis and escalate cause for concerns to Head of Financial Risk;
• Assist BU and SBU’s information needs by providing requested risk reports/counterparty risk potential future exposure as and when needed ;
• Conduct, on a sample basis, in depth testing of all regulatory reports prior to actual reporting finalization to ensure proper deadline management, accuracy and consistency of data;
• Participate in IT related projects related to upgrade, new implementation or change requests for regulatory or internal management purposes;
• Reconcile market risk reports to ensure global consistency among Traded and Non-Traded Risk spheres;
• Act as alternate point of contact and provide Subject Matter Expertise to internal BUs and external stakeholders with regards to all reports described above;
• Propose, develop and maintain financial models related to Structural Market Risk, Traded Market and Counterparty
• Risk for enhancing accuracy of analysis and forecast used in decision making;
• Assist in carrying statistical analysis for Traded and Non-Traded Risk limit review;
• Assist in processes related to existing behavioral risk models using specific software;
• Assist the Executives and Manager with regards to other functional requirements related but not restricted to stress-testing, dynamic simulation, risk appetite and other related requests from Risk SBU or other SBUs.

Tagged as: finance