Market Risk [Multiple Positions Available]

DESCRIPTION:

Duties: Develop and support analytics for the regulatory capital framework to ensure the firm can manage potential losses from adverse market conditions and maintain financial stability, including the Fundamental Review of the Trading Book (FRTB) and broader Basel framework requirements.

Design and code analytics tools for capital components to support implementation projects and aid the analysis and production of capital results for regulatory submissions and strategic decision-making.

Execute market risk capital scenarios on traded financial products and derivatives across various desks, including rates, FX, commodities, equities, credit trading, and securitized products, as well as legal entities.

Design, build, and maintain market risk analytics modules.

Analyze and explain market risk capital movements over time, leveraging existing analytics and developing new tools.

Lead implementation discussions for the firm's strategic FRTB build in partnership with quantitative research and technology teams.

Test, validate, and enhance the firm's evolving capital framework to ensure continued regulatory compliance and improved transparency.

Leverage internally developed workflows and perform regulatory capital adjustments to support capital generation.

Own strategic and tactical capital estimation processes for FRTB strategy discussions and regulatory capital submissions.

Communicate and validate the appropriateness of capital models and capital generation processes.

Conduct regulatory exercises such as quantitative impact studies and hypothetical portfolio exercises, and submit to regulators.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Enterprise Risk Management, Finance, Economics, or related field of study plus 3 years of experience in the job offered or as Market Risk Associate, Deal Solution Designer, Risk Analyst, Business Analyst, or related occupation.

The employer will alternatively accept a Bachelor's degree in Enterprise Risk Management, Finance, Economics, or related field of study plus 5 years of experience in the job offered or as Market Risk Associate, Deal Solution Designer, Risk Analyst, Business Analyst, or related occupation.

Skills Required: This position requires experience with the following: Analyzing and interpreting the impacts of changes in quantitative risk metrics, including Greeks, on portfolio P&Ls or capital; Conducting scenario analysis and calculating Value at Risk and Expected Shortfall; Solving capital and risk analytics problems using advanced quantitative techniques, including Monte Carlo simulations, Historical Value at Risk calculations, and sensitivity-based approximations and interpolations; Processing data sets using advanced techniques in Excel, including XLOOKUP, INDEX MATCH, Pivots, and Solver; Developing tools that facilitate data analysis and automating processes to enhance decision-making using Pandas or NumPy libraries in Python; Managing the project ...