Overview
Configure and validate Murex market risk: sensitivities, VaR, Expected Shortfall, stress tests and FRTB SA and IMA results that Risk can sign off.
What you'll do
- Configure and enhance Murex market risk to the agreed methodology
- Deliver sensitivities, Greeks, VaR, Expected Shortfall and stress and scenario results
- Deliver FRTB standardised approach (SA) and internal models approach (IMA) results, including P&L attribution and backtesting
- Maintain the market data, curves and model assignments behind risk measures
- Validate and reconcile risk results against front office and source data
- Support risk reporting for management and regulators
- Carry risk requirements through configuration, SIT, UAT and regression
What you bring
- Hands-on Murex market risk experience
- Understanding of VaR, Expected Shortfall, sensitivities and stress testing
- Experience configuring and validating Murex risk calculations, simulations and market data
- Exposure to FRTB SA or IMA (a strong market risk background also counts)
- Understanding of traded products and the trade lifecycle
- SQL for analysis and result validation
- Experience working with Risk, Front Office and Technology stakeholders
You don't need every item on this list. If most of it fits, send your CV.
Nice to have
- Murex MRM or enterprise risk module experience
- FRTB risk factor eligibility and NMRF
- Basel regulatory capital frameworks
- Python or shell scripting
- MxML or Datamart exposure
- FRM, PRM or CQF certification