A Tier 1 investment bank is looking to bring on a VP level candidate to their Market Risk Capital team.
This person will be responsible for calculating any Market Risk and Counterparty risk RWA, capital impacts for the bank's trading portfolio, translates that risk into regulatory capital requirements, and helps the bank optimize its balance sheet while remaining compliant with regulatory expectations. This person will join a relatively lean team and have exposure to senior management and business decision makers offering significant influence on the business.
This hire will have at least 3 years of experience in market risk or counterparty risk, ideally working with RWA, FRTB, SA-CCR etc.
Responsibilities:
- Calculate and report on market risk and counterparty risk capital, including providing capital impact analysis for various trading desks
- Assist in the development and enhancement of FRTB frameworks
- Ensure market risks are aggregated appropriately across asset classes, metrics, and business lines.
- Engage with various parts of risk management to assist in GMS, CCAR, Stress testing, and other regulatory deliverables.
- Shape market risk Capital framework in adherence to risk appetite and the firm's overall risk framework
Qualifications:
- 3+ years of experience in Market Risk or Counterparty risk
- Strong understanding of Basel frameworks, FRTB, RWA, SA-CCR, Market Risk Capital Calculations
- Knowledge of various Market Risk metrics and concepts such as VaR, Stress Testing, etc.
- Experience participating in various regulatory engagements like CCAR and GMS
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