Market Risk Capital Manager
Business / Purpose
- To develop new processes and tools that:
- meet new capital methodology requirements (such as new products, businesses, locations or regulators' requirements); or
- enhance the reporting and management of market risk capital-RWA; or
- take in input feeds from new source systems.
- To deliver regulatory market risk capital-RWA requirements for Group and Solo SCB:
- Bespoke analysis for Front Office and risk managers with relevant and timely expert advice on regulatory market risk capital treatment so that the Group/Solo market risk RWA is managed most effectively.
Regulatory market risk capital-RWA submissions and advisory:
- Organise the timely submission of all the components required to produce accurate and complete monthly market risk capital-RWA reports.
- Take an active role in assessing market risk capital-RWA results and providing the business with regulatory analysis.
- Assist in the implementation of systems in accordance with business strategies & policies relating to market risk management;
Participate in Tech projects and enhance market risk capital process :
- Contribute actively in technology development projects and streamline processes eg to obtain risk sensitivities for each asset class.
- Engage relevant stakeholders (Risk managers, IT, Quants) to ensure that capital calculations are accurately implemented.
- Apply data analysis tools like ActivePivot to enhance market risk capital reports.
- Develop and enhance Excel, MS Access and VBA tools to calculate market risk capital.
Our Ideal Candidate
- Education: Graduate or equivalent professional qualification.
- Technical: Advanced level experience developing applications in MS Excel, MS Access including VBA. Understanding of the "Project Management Life Cycle". Competence in MS WORD and MS Powerpoint.
- Technical: Understanding of system process flows and technical documentation. Experience of implementing data quality controls and processes. Awareness of BCBS-239 risk data reporting standards. Experience with programming languages such as VBA, Java, Python.
- Experience: Experience in a regulator or financial services function, particularly if it involved market risk capital. Awareness of market risk banking regulation including CRD4/CRR4 and COREP MKR.
- Experience in IT projects to streamline and optimize processes.
A detailed understanding of the various calculation methodologies used in Market Risk .(e.g. PV01,CR01, NOP, VaR, stress VaR)
Apply now to join the Bank for those with big career ambitions.