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FRTB Project Specialist

2 months ago


London, United Kingdom Granard Consulting Full time
About the Role

Granard Consulting is seeking a highly skilled FRTB Project Specialist to join our team. As a key member of our team, you will be responsible for working on the Non-Modellable Risk Factor (NMRF) charge within the upcoming FRTB regulation.

Key Responsibilities
  • Assess the client's interpretation of the FRTB regulation against industry best practice across different jurisdictions.
  • Map Risk Factors to Trades (internal and external) & Pricing Sources (including classification).
  • Identify Real positions against flat marking of Risk Factors and document accordingly.
Requirements
  • Professional qualification in mathematics, statistics, physics, engineering or finance/econometrics or a PhD in another Science or engineering field with an interest in finance modelling.
  • Broad knowledge of the theories and practices across the Global Markets function and their interaction with each other combined.
  • Expert knowledge of FRTB regulation, with a focus on NMRF regulation and implementation.
  • Financial products expert: Swaps, Govies, Fxswap, xccy swap, etc..
  • Proficient in Python and XL implementation.
  • A role model in the ability to quickly adapt their behaviour, style, approach, priorities, communication or working methods according to the needs of the task, individual/group, situation, constraints and circumstances.
  • Recognised by others as a highly effective communicator. Can present or skilfully communicate complex ideas, strategic and critical messages or ideas to large, culturally diverse and unfamiliar audiences, including in conflicting situations, both across and throughout the hierarchy and/or the top management.
What We Offer

As a FRTB Project Specialist at Granard Consulting, you will have the opportunity to work on a challenging project that requires expertise in FRTB regulation and implementation. You will be part of a dynamic team that values collaboration and innovation.