Risk Reporting Senior Analyst
About The Position
Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access. Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier. Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss. Perform analysis on VaR and Market factors, and confirm variances in preparation of various regulatory filings, including 10-Q, 10-K, Earnings, Pillars, and FFIEC submissions. Provide market risk metric analysis using Access and Tableau.
Responsibilities
- Provide ad hoc in-depth data analysis of key drivers of risk to support Market Risk Management when there are unexpected VaR moves using Excel, VBA, and Access.
- Perform regulatory VaR back-testing required for evaluation of the VaR model used in calculation of risk-based capital and can impact the capital multiplier.
- Perform the daily back-testing by benchmarking Basel 3 Monte Carlo simulation VaR against historical profit and loss.
- Perform analysis on VaR and Market factors, and confirm variances in preparation of various regulatory filings, including 10-Q, 10-K, Earnings, Pillars, and FFIEC submissions.
- Provide market risk metric analysis using Access and Tableau.
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
Education Level
No Education Listed
Number of Employees
5,001-10,000 employees
