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Understanding of dynamics of market data inputs, trade attributes and market risk sensitivities required for analysing VAR/ERC/IRC movements.
Review and Validate material day-on-day changes in calculated risk measures (VAR/ERC/IRC), accurately attributing to input data changes identified by Market Risk Data Management and Control Team, market data changes in time series and risk computation methodology changes.
Provide accurate and meaningful commentary to highlight driver(s) of material calculated risk measures (VAR/ERC/IRC) in validation templates.
Reporting the present Risk Controls and report the gap analysed.
Notification to Market Risk Reporting and Analytics team on a possible delay, reason of delay and ETA on completion of Market Risk measures validation process.
Perform Market Risk Data Quality Management to capture Time Series data / methodology issues if any. Inform and/or escalate to appropriate teams, and follow up on remediation plan in a timely manner.
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