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FRTB Business Analyst, Market Risk

Main Duties and Responsibilities of Role:

The role is focused on delivering FRTB especially for the standardised approach (SA) implementation.

 

Key deliveries of the role:

  • Reviewing the functional specifications, architecture and design of FRTB SA
  • Collating FRTB SA requirements of the market risk function and translating these requirements to the various IT teams that implement the changes
  • UAT testing the FRTB SA functionality across platforms before going live
  • Reliability assessment of FRTB outputs, error handling and remediation planning
  • Drive forward the key FRTB implementations to plan and in time
  • Documentation of technical design, test results and Model Implementation Document (MID)

 

Department Overview:

The Market Risk FRTB team is part of the FIFM department. The FIFM department comprises of a large team of market risk and counterparty risk managers & analysts, with expertise in the risk management of financial markets from the perspective of Balance Sheet Risk, Credit and Trading Risk, Market Risk models and capital management.

 

Get an impression on our agile way of working here: https://youtu.be/NcB0ZKWAPA0

 

Career Potential

The position offers excellent opportunities to excel in what you do and to broaden your Market Risk skills, as well as exposure to a dynamic and agile international working environment.

 

Candidate Profile

 

Qualification/Education 

  • An academic degree in a quantitative field, preferably (financial) mathematics, econometrics or physics

 

Experience/Knowledge:

  • In-depth Market Risk knowledge across asset classes
  • 3 years of FRTB implementation experience, with subject matter expertise in FRTB regulatory capital rules, models and methodologies
  • Specific knowledge and experience on implementing standardised approach for FRTB
  • Familiarity with financial mathematics and financial markets products

 

Personal Competencies:

Essential:

  • Strong communication skills and fluency in English
  • Constructive attitude and pro-active team player