market risk analyst.

Market Risk mandates cover Valuation, Risks and Economic performance for the capital market activities of on all its business lines (mainly Fixed Income, Equity, FX, Credit, Commodities). Within Market Risk, Risk Monitoring of traded Risk has the mandate to control, certify, analyze, and report the market risk metrics and performance indicators
your role:
identify and document impacts of the reform on risk and PnL metrics, in particular on:
Market Liquidity monitoring :
evolution of structural liquidity on IR markets might require a specific monitoring of such markets (especially IPV-wise) which might itself triggers changes in limits, reserves/PVA and capital measurement;
Observability level should be reviewed according to the market development;
RFR market development:
New products requiring a potential model adaptation might be introduced ;
New listed products indexed on RFRs (Futures 1m and 3m);
Optional products indexed on new RFRs;
New RFR risk axis should be included in FRTB and EBA Stress-Testing scopes;
RFRs discounting : Evolution of collateral terms (on cleared and non cleared contracts) might require a specific monitoring on the exposures;
IBOR disappearance
New fallback provisions based on €STR should be agreed by the main stakeholders to ensure the IBOR contracts continuity and might lead to several issues. Potential P&L impacts should be measured if such provisions get triggered;
Establish the business requirements for current and to be implemented tools;
Coordinate with teams’ leaders and colleagues the definition of the target dashboards, analysis and reporting: Definition and supervision of standardized dashboards setup in relationship with the relevant leaders and analysts;
Documentation business requirements, procedure;
Tests / UAT on IT deliveries - Highly involved in the regulators’ requests on the topic
Key stakeholder of the governance : with IT, in preparing Committees’ documentation;
Key role in transferring the setup mandate to analyst for the run mode

if you have:
Masters degree on Finance / Economics / Engineering / Mathematics;
Good knowledge of SQL, VBA, Python;
If you are:
Good communicator, rigorous and autonomous;
Good at stakeholders management
Fluent in English is mandatory, French is a plus

what you´ll get:
Integrate a renowned company in a multicultural environment
Base salary + meal allowance