Market Risk Role - FRTB - BFS

The role holder should :

- Support the preparation, execution and reporting of the regulatory FRTB QiS exercise for the Market Risk function.

- Implement prototype to manage the QiS exercise

- Work with other team members within London, Paris and our global hubs, to ensure accurate execution of the FRTB methodology within in house built systems and tools.

- Work closely with cross asset Market Risk Managers to provide detailed analysis and support.

- Implement additional FRTB reporting and analysis in conjunction with Market Risk Management requirements.

- Improve efficiency and effectiveness of controls to ensure that operational risk is minimized.

Technical Skill Requirements :

- Thorough understanding of risk management, Value at Risk, sVaR, PVBP, RWA and Stress Testing

- Understand key risk factors for Equity products and how they are measured.

- Thorough understanding of the Market risk function.

- Ability to design and implement normalized databases.

- Advanced knowledge of VBA, SQL, Matlab, C++, python

- Knowledge of Bloomberg and Summit

- Experience of related banking areas, e.g. Product Control Front Office Quant