Expert in Sensitivities & VaR (Value at Risk)

We are looking for an Expert in Sensitivities & VaR (Value at Risk) to join a leading risk management team for one of our major international clients within the banking and financial industry. In this role you will be responsible for measuring validating and monitoring market risk exposures across multiple asset classes ensuring accuracy consistency and alignment with internal risk frameworks. This position involves close collaboration with quantitative teams risk officers and technology stakeholders.

Responsibilities:

Market Risk Analysis

• Calculate analyze and validate market risk sensitivities (Delta Gamma Vega Theta Rho etc.).

• Monitor and explain daily movements in sensitivities and risk metrics.

• Validate consistency between reported sensitivities and actual market movements.

VaR Calculation & Control

• Produce and review daily VaR metrics (historical parametric or Monte Carlo depending on the system).

• Analyze daily VaR variations and identify key drivers.

• Perform backtesting and support stress testing and scenario analysis.

• Monitor VaR limits and escalate breaches or anomalies.

Risk Process Validation & Testing

• Participate in UAT cycles process validation and risk model testing.

• Identify data issues model inconsistencies and system anomalies.

• Collaborate with technology teams to implement enhancements fixes or new methodologies.

Cross-Team Collaboration

• Partner with quantitative analysts risk managers and front-office stakeholders to explain risk movements and support decision-making.

• Contribute to the integration of new products valuation methods or risk models.

• Provide clear accurate and timely reporting to internal stakeholders.

Project Leadership

• Lead risk-related initiatives and process improvements.

• Work independently contributing to Agile ceremonies (Scrum/Kanban).

• Coordinate with diverse teams using Jira or similar tools.

Qualifications:

Experience:

• Strong professional experience in market risk sensitivities and VaR methodologies.

• Proven background working with financial products including derivatives (options swaps futures FX rates credit or equity products).

• Experience conducting UAT testing process validation and data quality checks.

• Prior experience collaborating in Agile environments using Jira.

Education:

• Bachelors or Masters degree in Finance Economics Engineering Mathematics or another quantitative discipline.

Skills & Knowledge:

Technical:

• Strong understanding of market risk frameworks risk factor modeling and valuation principles.

• Knowledge of VaR methodologies and stress testing practices.

• Familiarity with Python SQL Excel/VBA or standard market risk systems (e.g. Murex Summit or similar).

• Solid analytical skills with attention to detail and data integrity.

Soft Skills:

• High level of English (written and spoken).

• Strong communication and presentation abilities.

• Proactive autonomous and able to lead initiatives with minimal supervision.

• Ability to work effectively with cross-functional teams in a fast-paced environment.

Nice to Have:

• Experience in risk reporting or model validation.

• Exposure to advanced quantitative methods or risk model design.

• Knowledge of cloud-based environments or DevOps workflows.

What We Offer:

• Full-time long-term assignment with a major international banking client.

• Hybrid work model (office remote flexibility).

• Opportunity to work in a dynamic multicultural environment.

• Continuous training and professional development.

• Competitive compensation package.

• Exposure to advanced market risk methodologies and complex financial products.

If you are passionate about market risk precision analytics and delivering high-quality insights in a global financial environment we would love to hear from you.

#LI-CL1

Remote Work :

No

Employment Type :

Full-time