Overview
Turn market risk and FRTB needs into clear requirements and tested change: VaR, Expected Shortfall, sensitivities, P&L attribution and backtesting.
What you'll do
- Analyse market risk processes and data across trading, risk and finance
- Write requirements for VaR, Expected Shortfall, stress testing and sensitivities
- Deliver FRTB standardised approach (SA) and internal models approach (IMA) requirements
- Define P&L attribution, backtesting and risk factor eligibility rules
- Map risk data from trading systems to risk engines and reports
- Support SIT, UAT and parallel runs through to regulatory sign-off
What you bring
- Business analysis experience in market risk at a bank, broker, insurer, asset manager or energy trader
- Understanding of VaR, Expected Shortfall, sensitivities and stress testing
- Working knowledge of FRTB SA and IMA
- Product knowledge in one or more asset classes
- Requirements, data mapping and acceptance criteria
- SQL for data analysis and reconciliation
You don't need every item on this list. If most of it fits, send your CV.
Nice to have
- Murex, Calypso, Adaptiv or another risk engine
- Python for analysis
- FRM, PRM or CFA
- Regulatory capital reporting