Strong understanding of the qualitative issues within FRTB (SA and IMA approach)
- Identifying and documenting business requirements from key business stakeholders.
- Market risk models - Expected shortfall, DRC, CVA, Back testing (SA and IMA)
- Should have working experience in multi-asset classes and derivative pricing.
- Coding skills on R/Python and C++.
- Responsible for ensuring alignment/integration between work done on FRTB and the market risk infrastructure.
- Responsible to collaborate with wider Markets Risk and Technology teams in designing solutions.
- Prepare Methodology Document produced by the Quants/ methodology team act as a BRD and prototype for computations.
- Responsible for implementing FRTB requirements in a tight deadline.
- Project management of all analysis activities and support for UAT
- Senior business stakeholder's management
- Contribute to methodological enhancements, including qualitative impact analysis.
- Flexibility to move to different projects
- Strong quantitative skills including algorithms, Modelling, and usage of advanced statistical techniques
- Experience in derivative pricing and exposure to asset class ( IR, FX, Credit and fixed income)
- Strong programming skills and pricing library
- Understanding of RWA data and processing - specifically CCR and MR RWA
- Experience in Risk Management, market Risk, Liquidity Risk and Credit risk
- Experience in market risk implementations, experience in similar regulatory capital calculation implementations preferred.
- Good understanding and experience in risk calculation and market risk measure, models & methodologies.
- Good understanding about different regulatory requirements (including Basel III, SIMM, FRTB, CVA, - )
- Good understanding of other Market Risk measurement techniques e.g. VaR, RNiVs, Economic Capital, IRC, ERC and Market data
- Prior experience on Derivative Products and Risk Scenarios, Stress testing
- Must Have - Validation of Maket Risk and Pricing Module
Didn’t find the job appropriate? Report this Job