FRTB Quant / Analytics - Standardise Approach
Micro View Technologies
Work from Office
Full Time
Min. 5 yearsJob Description
FRTB Quant / Analytics - Standardise Approach
Department
GR&RS
Job Description
1. Perform gap analysis between BCBS and country specific FRTB rules (e.g., PRA Consultation Paper 16/22) and work with different teams for BRD creation. Help the technology team understand the requirements.
2. Develop FRTB-SA sensitivity and capital validation software tools and functionalities, interfacing with Front Office IT and Risk IT systems.
3. Provide cross-asset quantitative testing and validation of sensitivities and capital numbers as per FRTB-SA rules in various regulatory jurisdictions, including Quantitative Impact Studies (QIS), benchmark portfolio analysis and what-if analyses.
4. Independently lead the regulatory application process end-to-end from risk analytics perspective including, technical documentation preparation, modelling, validation, and data analysis.
5. Communicate with other teams in the firm and leveraging on their knowledge of the FRTB process to produce deliverables of the highest standard.
6. Present the results to internal governance forums and to the senior management.
Open Positions
1
Mandatory Skills
FRTB, Python, VAR, Market Risk, Market Risk Management
Education Qualification
Masters / Bachelors in Finance, Engineering, Physics, Mathematics, Management, Economics
Experience
5 to 10 Years
Job role
Job requirements
About company
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