- Manage the process of validating the data feeding the risk systems. Ensure timely publication of VaR and other risk measures
- Analyze risk scenarios and benchmark risk profiles for new products.
- Calculate risk associated, measure value at risk (VAR), and manage market risk exposures (Delta, Gamma, and Vega risks) for derivative strategies. Analyze variances and explain underlying changes.
- Monitor and escalate issues to senior management attention
- Liaise with IT / Change departments to drive improvements in the process and make it more robust and scalable
FRTB : The Fundamental Review of the Trading Book (FRTB) - FRTB is loosely defined as a set of proposals by BCBS - Basel Committee on Banking Supervision as the framework for the next-generation market risk regulatory capital rules for large, internationally active banks.
- Effective stakeholder management; interact with a diverse audience from senior management to risk management committees and non-risk forums
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