Credit Market Risk Analyst in Market Risk Management. Focus will be, but not necessarily limited to, Credit Correlation trading books. Quantitative knowledge preferred.

Purpose and Responsibilities:

The Market Risk Analyst will take on full Market Risk Manager responsibilities. These include, but are not limited to:

1) Daily Risk Responsibilities

- Daily review of market news and movement
- Daily review of positions taken and changes to the positions
- Daily communication with risk takers
- Communication to senior business and risk management staff
- Monitor global limits and take action when necessary

- Assist with production of appropriate risk & stress test data
- Analyse risks taken by the business

Positions, Sensitivities & VaR figures

Stress Test Results, Economic Capital & RAROC

Risk takers from various desks

DB Research
- Review current risk reporting processes and highlight gaps and weaknesses in current coverage, measurement and/or methodologies
Discuss the above in a regular forum with the business
- Assist Market Risk Analytics, Model Validation, Market Risk Managers and Finance departments with review of pricing models used by the front office, including:

Analysis of risk management methodologies, modeling and calibration of the models

Evaluation of the capability of models to measure sensitivity against shift in the underlying risk factors

Review of consistent use of the model across different business units/desks

Comparison of the model assumptions with observed market data

Identification of potential risk factors not covered by the model

Review of availability and quality of market data used for calibration

Review of model-driven risks' inclusion in the VAR process

Review of model-related reserving methodologies and p/l implications

2) Stress testing / economic capital

- Determine appropriate stress testing methodologies for model-driven risk
- Identify key risk factors to stress
- Determine adequate stress severity levels based on historical observations and hypothetical assumptions
- Review integration of the model risk with the rest of the stress test results
- Regular performance of stress test calculations
- Develop framework for the inclusion of model risk economic capital