EY - Senior Manager - Market Risk Methodology - FRTB

Key Responsibilities :

As part of the FRTB engagement the team's tasks mainly include :

- Developing and implementing quantitative methodologies to be used for market risk measurement as part of the FRTB Quantitative Impact Studies

- Evaluating the impact of the new capital rules for the Group but also for particular Business/desks

- Developing prototypes to test the proposed revised Standard rules for capital calculation (Standard Approach) at Group and Trading Desk level

- Defining and implementing tactical revised methodology for all material Non-Modellable Risk Factors

- Using in-house systems and prototypes to analyse the multiple criteria through quantitative and qualitative features of the trading desks to be able to use Internal Models approach to capitalize their trading activities

- Liaising with other stakeholders within the bank involved with FRTB and in particular hands on the Quantitative Impact Studies

- The successful candidate will take ownership of individual methodology development items from upfront analysis phase and model description to functional specifications and UAT. During the front-to-back development, various stakeholders will have to be involved:

- Agree approach with and get acceptance from the Market Risk Managers

- Ensure industry best-practice by rigorous challenge process within governance framework to satisfy the expectations of Regulators

- Check feasibility of implementation approach with Information Technology and Operations

- Estimate upfront VaR and capital impact to manage Front Office as well as Management Board expectations

Candidate Requirements :

- Strong quantitative skills including a good mastery of Probability, Statistics and Derivative Pricing Theory

- Strong analytical and communication skills

- Solid experience in coping with large datasets and applying market data methodologies across different product/asset classes

- Ability to work independently and/or within intra/inter-departmental groups

- One or more programming languages (C++/Java/VB/Matlab)

- Ability to work in a fast paced environment

- Willingness to go the - extra mile- in order to achieve targets

- Ability to explain mathematical concepts and results in layman's terms

Preferable skills :

- Familiarity with databases, including SQL

- Extensive prior experience in the market risk area in financial institutions of similar nature

- Mathematical or statistical packages (Matlab/SAS)

- Good familiarity with pricing models and their usage/limitations when used under an various VaR framework (historical simulation, MonteCarlo)

- Good financial product knowledge

Education/Qualifications :

- Background in Mathematics, Physics, Engineering or Econometrics (MSc or higher)

- FRM,PRM, CQF, CFA