FRTB Model Risk Quantitative Analysts

4 weeks ago


London Area, United Kingdom ETRA Talent Full time

VP Level: FRTB Model Risk Quantitative Analysts needed for a Top Tier Investment Bank.


The Role:

Provide guidance and input into the shape of the future infrastructure for FRTB and help formalize it through different channels, for the local implementation.


Supervise and provide guidance in the phase of writing of requirements such that they are deemed fit for purpose by the stakeholders. The requirements need to be comprehensive and cover all the aspects of the new capital calculation for the local implementation.


Supervise and provide guidance in the execution phase making sure that the requirements are fulfilled and that main milestones of deliveries are fulfilled.


Liaise with stakeholders in Traded Risk such that FRTB deliveries is in line with the expectations from stakeholders.


Liaise with stakeholders from FRTB Programme such that issues are timely escalated and a path to resolution is found.


Experience:


  • Strong understanding of global financial markets and products.
  • Extensive knowledge and experience of balance sheet, income statement dynamics and liquidity risk issues.
  • Strong knowledge of risk-related regulations, their application/impact in the banking industry with a specific understanding of monetary policy as well as key capital regulations.
  • Strong knowledge and understanding of key market, capital and liquidity risk drivers.
  • Experience of managing RWA optimization and Funding.
  • Understands the strategies of the Group lines and demonstrate



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