FRTB Market Risk Role - BFS

- Prior experience on Market Risk Model validation or development/Methodology

- Experience with modelling/ Validation FRTB components like:

- NMRF ( Non Modellable Risk Factor),

- RFET(Risk Factor Eligibility tests),

- IMCC (Internal Model Capital Charge)

- PLAT (P&L Attribution test)

- FRTB SBA (Sensitivity Based Approach)

- DRC (Default Risk Charge)

- RRAO (Residual Risk add ON) are preferrable

- Work on reconciliation projects - compare outputs of FRTB IMA system with existing VaR model and work with BAs to close any gaps

- Strong quantitative background - Masters/ PhD in Numerates (Physics, Engineering, Economics, Financial mathematics)

- Should be able to take initiative and have attention to detail

- Good documentation skills

- Should be able to tap in to knowledge base of his/her organisation to help with project deliveries

- Excellent programming skills in Python (Pandas & OOP)