AVP, Market Risk Analysis and Control Basel III

Full Time

Madison-Davis Client

Overview

The Risk division has a fundamental responsibility to protect the Bank with group-wide responsibility for the management and control of credit, market, operational, and reputational risks; we have a unique vantage point which allows us a holistic view of our businesses and our clients. Nearly 4,000 employees work together to achieve our ambition to be an industry-leading risk management organization. In an increasingly complex environment, risk management is fast becoming the most sought-after place
to build a career within the banking world. Risk is relied upon to help shape the strategy of the organization and the wider industry agenda.

Your Key Responsibilities:

  • Deliver analyses and explain statistical models; these include, but are not limited to historical simulated value at risk (VaR), Stressed value at risk (SVaR), and US Basel III risk-weighted-assets (RWA) including standardized charge calculation
  • Calculate and produce US Basel III market risk RWA and provide in depth analysis of the RWA drivers
  • Perform ad hoc “what-if” impact analysis on US Basel III market risk RWA
  • Monitor key performance indicators (KPI) – investigate and remediate any red flags
  • Draft and maintain process flow diagrams and key operating procedures
  • Participate in the US rollout of fundamental review of trading books (FRTB) rule; provide regional
    support and provide US requirements in the global project

Your Skills and Experience:

  • Ability to understand complex front to back systems and processes while looking for ways to reduce
    inefficiencies
  • Experience in computer languages (e.g. Python, SQL) for statistical analysis and risk management
  • Broad financial market and product knowledge with understanding of the overall US market
  • Knowledge in comprehensive capital analysis and review (CCAR) RWA projection rules or have
    participated in CCAR process is a plus
  • Knowledge in FRTB regulation is a plus
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