This role will focus cross-asset regulatory initiatives with a focus on regulatory implementations and submissions.
Core responsibilities will include involvement in
- The market risk internal model (IMA) applications for new entities and supporting the regulatory examination / approval phase including documenting internal processes and procedures, and providing information for regulators
- Other strategic market risk work-streams including FRTB, EBA Benchmarking and other regulatory deliverables
- Several years experience in market risk
- Understanding of the Market Risk regulatory capital including VaR, SVaR, IRC, Risks not in VaR and FRTB
- Knowledge of trading products including an understanding of pricing models and risk representations, and experience with trading and risk system infrastructures.