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