The Basel Measurement & Analytics (BM&A) group within Treasury & CIO is responsible for calculating, analyzing and reporting firm-wide RWA for market risk, credit risk and the related capital ratios. The results are provided to the corporate financial reporting teams and the Line of Business Finance/Treasury teams. BM&A is responsible for managing the calculation infrastructure and ensuring compliance with internal capital policy and guidance as well as translating new rules and policy decisions into business requirements for implementation. In addition, BM&A supports ancillary activities to perform impact analysis on methodology changes driven by new rule proposals, support RWA component of CCAR, Resolution & Recovery, Pillar 3 Disclosure, and Quantitative Impact Studies (QIS) for regulatory agencies.
The Market Risk team within BM&A is responsible for implementation, calculation, analysis, and reporting with respect to the Basel Market Risk Rules. Market Risk Capital (MRC) and the calculated RWA rely heavily on internal risk models developed by Market Risk Quantitative Research (MRQR) based on the Basel rule requirements. Specifically, the team is responsible for understanding the methodologies used for Value at Risk (VaR), Stress VaR, Internal Model Specific Risk (SR), Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM) and Standardized Specific Risk. The team works closely with Capital Policy & Oversight (CP&O) on rule interpretation and interfaces with Market Risk Coverage, Market Risk Basel Group (MRBG) Market Risk Middle Office (MRMO), LOB business partners and other groups to manage the controls and explain the capital measures.
The candidate's responsibilities include the calculation, explain, consolidation and reporting of Market Risk RWA as well as leading the team performing these functions. The candidate will be working closely with multiple teams and business partners to perform his/her duties and provide support to senior management. Responsibilities for this role include, but are not limited to:
Verify, analyze and explain the inputs and output of RWA calculations
Provide RWA for quarterly Financial Reporting, CCAR and Resolution & Recovery
Manage junior team members and provide appropriate coaching, training and development support
Represent Market Risk BM&A in the relevant regulatory and management forums
Manage calculation infrastructure and ensure compliance with rules
Translate new rules and policy decisions into business requirements for implementation
Perform impact analysis on methodology and rule changes and ad-hoc queries
Assess and update operational procedures, controls and process flows as appropriate
Identify operational risks and work towards streamlining and improving process efficiency and controls
Degree in a Finance, Economics, Statistics, Engineering, Computer Science or related field; advanced degree a plus; FRM certification a plus; knowledge of Market Risk Rules a plus
8+ years' experience in Finance, Risk Management, or related field
Product Control, Valuation, or Market Risk related experience preferred.
Must have advanced knowledge of derivative products across one or more asset classes (Credit Derivatives preferred)
Must have experience directly managing a small team
Successfully partnering with technology and business to define requirements and drive issue resolution
Experience with working in a highly regulated environment and identifying, performing, and documenting controls and governance processes
Prior experience in analyzing and investigating the output of risk or pricing models on a daily basis
Experience supporting large initiatives across multiple functional groups
Comfortable with handling large datasets; Strong Excel skills; Tableau & Alteryx experience a plus
Ability to manage, develop and influence people
Strong analytical, critical thinking, and problem solving skills with a track record of execution against deliverables; including the ability to take ownership and work independently while contributing to the broader team.
Self-motivated team-player. Must possess the ability to research and resolve issues independently while working across teams to acquire needed information.
Excellent communication skills (both verbal and written)
Superior attention to detail and process-orientation
Ability to synthesize and analyze large amounts of data to ascertain key facts and trends.
Strong organizational skills and an understanding of process controls and reporting
Ability to work well under pressure, manage tight deadlines and balance multiple priorities