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FRTB Project Specialist

2 months ago

London, Greater 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
  • Mapping VaR Risk Factors to Pricing sources to ensure accurate risk factor modellability assessment.
  • Assessing the client's interpretation of the regulation against industry best practice across different jurisdictions.
  • Identifying Real positions against flat marking of Risk Factors and documenting the findings.
Requirements
  • Professional qualification in mathematics, statistics, physics, engineering, or finance/econometrics.
  • Broad knowledge of the theories and practices across the Global Markets function and their interaction with each other.
  • Expert knowledge of FRTB regulation, with a focus on NMRF regulation and implementation.
  • Financial products expertise, including Swaps, Govies, Fxswap, xccy swap, etc.
  • Proficiency in Python and XL implementation.
  • Excellent communication and presentation skills.
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 innovation and collaboration.