BA Continuum - Assistant Vice President - RWA Project Analyst

RWA Project Analyst

Global Middle Office Generally:

Global Middle Office delivers control functions responsible for providing assurance over data and processes used to record risk, P/L, balance sheet and financial results in support of Global Markets, Corporate Treasury and Corporate Investments businesses. There are seven GMO core functions that are critical in ensuring business process control: New Business Development, Trade Capture Substantiation, P&L Validation, Risk/Position Validation, Balance Sheet Substantiation, Event

Monitoring, and Front-Back Process Oversight.

QMO RWA Team:

In response to stricter capital regulations (Basel rules etc.), QMO and CPM desk have been working together with Quant and tech teams to develop infrastructure and process to analyze and report regulatory capital cost.

Job Overview:

Daily Risk validation and Analysis:

- Review and validate capital measures

- Explain the daily capital cost changes for OTC derivatives

- Communicate daily with FO and technology partners on issues and discrepancies discovers

Capital Impact Analysis and Validation:

- Understand regulatory capital requirements and business implementations

- Validate technology implementations based on business requirements and resolve issues

- Provide capital related analytics and reporting

Process Improvement :

- Identify issues and control gaps in existing infrastructure

- Work with technology team to streamline our processes and enhance data integrity and control

Project Management:

- Accountable for the success of small projects or sections of larger ones

- Responsible for the quality and timeliness of all project deliverables and well as the implementation of relevant project management practices (status reporting, issue tracking etc)

- Day to day responsibility for managing the project with line, technology and other partners

Qualifications:

Must Have:

- Masters Degree in Finance, Economics or Financial Quantitative Analysis

- Strong knowledge of market & credit risk; knowledge of Counterparty Credit Risk, CVA and Basel III/ RWA of the OTC derivatives is also preferred.

- Past experience with OTC Derivatives market (CSA Netting, ISDA, CCPs etc)

- Strong technical skills including experience using MS Office, SQL, Visual Basic, Python would be a plus;

- Experience handling large amount of data

- Excellent communication skills analytical skills

- Knowledge or experience with trading products in capital markets: Knowledge of: Fixed Income Modeling. Pricing derivative products like Futures, Options, Indexes, CDS, CDO, FRAs, SWAPs, SWAPTIONs, CAPs/FLOORs.

- Knowledge of Financial Risk Management: Credit Risk Model, Value at Risk. Knowledge of Interest Rates, Credit spreads, bond pricing, etc.

Education : Master's Degree in Finance, Economics or Financial Quantitative Analysis