SMBC is seeking a Sr Risk Analyst II that supports the Market risk control environment by providing periodic reporting and data analysis. Ensures adherence to regulatory requirements and internal processes for the U.S. and Regional businesses.
Qualified individuals will be responsible for the following
- Participates in and maintains the Risk environment to reflect internal policies, meet regulatory requirements and supports Head Office approved risk structure.
- Conducts timely and accurate day-to-day market risk review and reporting, and ensures control procedures and processes are followed
- Preparation and running of market risk stress testing activities to provide detailed analysis of portfolio
- Preparation and running of VaR model for daily VaR calculation. Providing analysis on the VaR results based on risk move and market moves
- Validating the VaR results and improving it to include new products and risk.
- Analyze and report RNIV risk factors along with quantification and materiality for relevant portfolios
- Improve daily reporting process to increase efficiency and develop better MIS tools
- Drafts policies and procedures as required.
- Designs new metrics and policy documentation for market risk limits and participates in presentations to senior management.
- Ensures business continuity under all conditions, sometimes adverse, with strict adherence to established guidelines and deadlines.
- Develop and validate new market risk models as necessary.
- Strong knowledge in fixed income derivatives as it forms the major portion of market risk portfolio.
- Indepth understanding of VaR models for derivatives and cash products
- Experience in developing stress scenarios for market risk stress testing for various products
- Experience in developing MIS tools using powerBI, excel and python is a plus
- Ability to develop and maintain working relationships with business units, model developers and validators.
- Good project management skills; problem solving abilities; understands complex situations, people and systems against a backdrop of managing a risk environment.
- Good written and oral communication; ability to explain complex quantitatively based technical matters clearly accurately and concisely.