Job Title:                   Market and Model Risk Analyst - USA

Industry:                    Banking

Location:                  New York, USA

FLSA Status:          Exempt

Salary:                     $105,000 to $125,000

Required Risk Experience:          7-12 Years

Job Purpose:

The Market and Model Risk Analyst reports to the Head of Enterprise Risk Management and, is responsible for the measurement, monitoring, control, and reporting of the Bank’s market risk and model risk exposures. The incumbent of this position shall be responsible for adhering to the provisions stated in the Employee Accountability Policy Statement.

Essential Functions & Accountabilities

• Responsible for making informed decisions and performing actions that align with the Bank’s risk appetite and tolerance levels, as outlined in the Risk Appetite & Tolerance Framework. This includes proactively addressing and mitigating potential violations or breaches to the Bank’s risk appetite while achieving expected job performance outcomes under Management’s guidance.
• Complies with all legal and regulatory requirements, adheres to the Bank’s Risk Appetite Statement, Risk Governance Framework, Policies, Procedures and Code of Conduct.
• Attends and participates in regular periodic training on core Bank policies, and reports any known or suspected violations of the Code of Conduct to the Bank management

Market Risk Management:

• Monitors, analyzes, and reports on developments associated with interest rate, price, exchange rate and liquidity risks, including ad- hoc analysis in relation to market risk using modeling techniques and quantitative analysis to determine value at risk (VaR) measurements.
• Performs daily monitoring of counterparty exposures and concentration limits to ensure adherence to risk appetite and approved risk thresholds, remaining constantly aware of current market dynamics.
• Conducts periodic liquidity stress tests and makes presentation of test results along with risk mitigation recommendations to Management as well as Asset and Liability Management Committee.
• Proactively engages with the 1LOD with respect to exposures, new business and market activity, performing in-depth analysis of books and trading strategies, and implementing appropriate stress-testing analyses.
• Ensures risk completeness and accuracy by developing risks not captured in VaR and stress mitigants, as required, while ensuring that the limit framework and appetite is commensurate with infrastructure.
• Builds, maintains, and improves market risk reporting infrastructure and tools, including the automation and streamlining of existing processes.
• Collaborates with stakeholders in the preparation of regulatory and audit documentation related to Market risk activities and reports.

Model Risk Management:

• Conducts periodic review and validation for various models used within the bank to ascertain that model is functioning as intended particularly with data inputs.
• Ensure models in use are reliable, accurate and fit for purpose.
• Collaborates with Head Office or other 3rd party Model validation teams to ensure proper governance and validation of models used to measure market risk, including VaR, stress testing, and scenario analysis models.
• Facilitates and anchors the development and implementation of model risk management policies and procedures, ensuring compliance with regulatory requirements and industry best practices.
• Monitors the performance of risk models by conducting regular reviews, such as back-testing, sensitivity analysis, and benchmark comparisons, and reports any concerns or observations to the MRM team.
• Identifies potential model limitations, assumptions, and uncertainties, escalating findings to the appropriate validation teams for further investigation.
• Works closely with quantitative research, IT, and other departments to enhance model development, test frameworks, and the integrate models into business processes.
• Assists in the preparation of regulatory and audit documentation related to the usage and governance of models, in collaboration with the MRM team
• Prepares weekly business-level risk review reports and supports the preparation of committee materials and other reports related to the Bank’s market and model risk exposures.
• Works closely with other departments to ensure trades are accurately captured and processed through the risk systems.
• Implements and performs data quality controls of the market and model data captured by the Risk systems.
• Evaluates proposed business actions to determine business and model risks, monitoring loss levels arising from credit, operational, market, and model risk factors.
• Presents recommendations to reduce and control risk exposure and improve current processes and procedures relating to market and model risk.
• Evaluates sources of actions and ensures business decisions relating to market and model risk management and control are timely and thoroughly executed.

Minimum Qualifications:

• Bachelor’s degree (or equivalent) with a concentration in Mathematics, Finance, Economics, Statistics, Actuarial Science, or a quantitative finance-related field; advanced degree preferred.
• Minimum of 4-5 years’ experience performing financial analysis, business reporting, and monitoring business risk, including market and/or model risk management.
• Strong experience in markets-related roles with an emphasis on market risk management and familiarity with model risk management frameworks.
• Familiarity with current regulatory initiatives such as Fundamental Review of the Trading Book (FRTB), Volcker Rule, stress testing, and model risk governance.
• Proven experience in model validation, quantitative modeling, and performance monitoring of risk models.
• Experience building and maintaining complex financial and quantitative applications.
• A strong understanding of market and model risk controls, governance frameworks, and regulatory compliance.
• Strong oral and written communication skills.
• Competency in Microsoft Word, Excel, Access, Visual Basic, and relevant quantitative modeling tools (e.g., Python, R, MATLAB).
• Strong analytical and problem-solving skills.
• Proven statistical, spreadsheet, and simulation skills.