Description
Market Risk Analyst - FRTB
My client are is a Tier 1 Global Investment Bank who are looking for Market Risk Analysts with strong experience across FRTB projects.
Responsibilities include:
- Senior contact within Front Office, Finance and MRM with respect to FRTB.
- Provide Cross-Asset/Portfolio focussed analysis.
- Brief senior management on key drivers of FRTB metrics.
- Improve and design current set of analysis and tools.
- Work with asset class risk mangers.
- Actively participate in and contribute to cross project initiatives.
- Liaise with key stakeholders within MRM, Front Office, IT, Finance etc.
- Become a subject matter expert on FRTB
- Documentation of framework, methodology, portfolio drivers etc.
- Production of ad hoc presentations.
Competencies:
- Strong banking knowledge and experience, including knowledge of more than one traded asset class.
- Designed/conducted stress testing previously, either at a portfolio or asset class level.
- Conversant & interested in macroeconomic/geopolitical events, both current and historical.
- Knowledge and experience of FRTB, Basel III/CRD IV regulatory environment.
- Good understanding of other Market Risk measurement techniques eg VaR, RNiV, Economic Capital, IRC.
- Good understanding of market risk controls and governance frameworks.
- Excellent analytical skills.
- MS Office proficient, especially Excel and PowerPoint. VBA/SQL skills would be advantageous.