We are currently looking for an experience professional into Market Risk - FRTB regulation.

Focus area of work

The successful incumbent will support market risk product managers and ensure that market risk measurements and controls are accurate and assist in the implementation of FRTB. The role aims to deliver the key changes as prescribed under FRTB regulation. The key areas of change are: the new definition of trading book/banking book boundary, moving from VaR to expect shortfall, stress calibration, incorporation of the risk of market illiquidity, treatment of hedging and diversification, revised model-based approach, revised standardized approach.

Key Duties

- Design, develop and enhance market risk analytics (VaR, Monte Carlo, Yield Curve, Bootstrapping) and assist with FRTB (Fundamental Review of the Trading Book)

- Engage and liaise with front office stakeholders including traders, product control and risk managers

- Manage processes with regard to policy and procedures

- Consult and liaise with senior management, board, treasury and regulators

- Financial products knowledge: FX, Treasury, Risk, Hedge Accounting, VaR, Credit Risk, Market Risk.

- Experience with financial platform implementation projects

- Conduct detailed analysis and documenting scoping the impact of FRTB on the wider business.

- Ideal knowledge: Valuation adjustments including CVA, DVA, FVA & EVA, SA-CCR, FRTB.

- Conduct gap analysis and writing as-is vs to-be documents as well as detailed business requirements documentation.

- Write functional and technical design documents to assist testing and development teams with implementation of business requirements.

- Support development team as well as QA and testing teams as subject matter expert (SME) in all areas of market and credit risk measurement and management.

- Project management for new projects as well as for any enhancement projects to existing clients.

Ideally the candidate will be expected to have exposure across a variety of vanilla and exotic products in either interest rates, FX, commodities, futures, equity and index. Candidates should also have

- Strong and demonstrated experience in markets risk in either analytics, reporting or a quantitative function.

- Strong knowledge of derivatives, preferably Rates, Fixed Income and or FX. Commodities is also desirable.

- Ability to simplify complex market risk concepts to a variety of stakeholders

- Sound programming skills in VBA and or Python scripting.

- Sound knowledge of SQL database. Querying and extracting data.

- Academic qualifications (preferably postgraduate) within a quantitative discipline (mathematics, statistics, physics, quant finance or econometrics).

Nyati Dixit
HR - Aptivaa

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