"Experience in P&L and Market risk
Good understanding of Financial products - Options and Payoffs - Calls, Puts and Digitals, FX, Stocks, Bonds, Mutual funds, VaR/Stressed VaR/Stress test/Backtesting
P&L commentaries and analysis:
- Analyzing P&L for at various entity level for both FIC and EQD asset classes and providing commentaries accordingly
- Producing various KPIs related to P&L certification activities and presenting it to management
- Producing weekly and monthly P&L reports at various levels with detailed move analysis
Responsible of the VAR backtesting:
- Follow-up and concatenation of the breaches explanations, VaR Modelling teams and analysts
- Follow-up of the technical and functional evolutions impacting VaR and PnL
- Improve and optimize backtesting tools
VAR / Stressed VaR:
Responsible of VaR and Stressed VaR:
- Production and level 2 certification of VAR and Stressed VaR (Validation of risk figures, investigation and explanation of variations impacting upper consolidation levels or limits, reporting of levels and excesses on perimeters)"
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