The Rates In-Business Risk (IBR) team works with Global Rates trading teams in all major Markets locations to monitor, analyze and mitigate market and credit risks arising from the live risk portfolio of the business. The team also takes a leading role in capital reg implementation programs on behalf of Global Rates Front Office. In addition, the team is heavily involved in capital optimization initiatives that directly impact the return on capital for Global Rates. The primary mission of the team is to support the Front Office trading teams to manage their material risks and operate in a capital-efficient manner.
This role is for a VP-level member of the Rates IBR Team, who will be primarily involved in SME work for Basel 3 Endgame / Fundamental Review of the Trading Book (FRTB) implementation and analytics. In addition, the individual will be involved in multiple analytical projects and workstreams; responding to new mandatory regulatory rulemaking and important supervisory requirements; building and maintaining the analytical thought process and infrastructure needed for a robust risk monitoring process and market risk capitalization as part of Front Office.
Responsibilities
Responsibilities and priorities will reflect needs of the specific workstreams and will evolve over time, however the following are some of the specific activities expected of this role:
- Analysis of gaps and enhancements in the delivery of FRTB SA and IMA implementation for Global Rates
- Project management of stakeholder dependencies with key partner teams inside Markets
- Analysis of material drivers of market risk capital under B3E / FRTB and construction of analytical tools for market risk exposures and capital, highlighting key areas of capital optimization under FRTB SA and IMA
- Devising capital optimization strategies and solutions under the FRTB regime
- Active participation in reg-facing deliverables for the Front Office, as part of FRTB readiness reviews
- Contributing to the successful delivery of market risk projects (current Basel 2.5 regime) in line with overall Rates IBR book of work
- Analysis and streamlining of the intraday risk calculation and reporting by the team’s Technology partners
- Effective communication with key stakeholders – both internal and external to the Global Rates business
- Subject matter expertise for internal queries relating to market risk issues and ad-hoc analytical projects
Qualifications
- Understanding of / experience with Market risk and sensitivities under the current market risk capital regime (Basel 2.5) and the future regime (Basel 3 Endgame / FRTB)
- Understanding of Markets trading products, particularly Rates cash and derivative products. Experience with fixed income pricing and market risk analytics
- Exposure to trading teams in a broker/dealer environment, preferably for Fixed Income / FX / Credit asset classes
- Proficiency in excel modelling and data management techniques.
- High attention to detail and ability to manage and organize big data sets, thus adding tangible value along the chain: noise – data – information – knowledge
- Self-starter in Business Analytics tool-building initiatives
- Familiarity with quantitative analytical and visualization tools, i.e. Python / SQL / Tableau
- Understanding of Front Office trading processes across the full trade lifecycle within a large bank/dealer
- Hands-on experience to multi-task and prioritize in a challenging environment with competing priorities. High level of self-organization and self-management
- Strong verbal and written communication skills, to effectively produce procedural documentation
- Ability to communicate complex technical issues both to non-technical colleagues and to seasoned quantitative executives within the organization
- Strong interpersonal, influencing and organizational skills to mobilize and motivate delivery in a co-operative and collaborative working environment
- Strong project management skills; ability to gain consensus among colleagues and drive initiatives to completion effectively
Education and Experience
- Bachelor’s/University degree, with Master’s degree / CFA or similar qualifications a plus
- Appropriate industry knowledge & delivery track record
Job Family Group
Institutional Trading
Job Family
Trade Support
Time Type
Most Relevant Skills
Please see the requirements listed above.
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.
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