Job

Director Market Risk - RWA Cap Planning

Location: Long Island City
Base Salary: $200K-$220K
Industry: Investment Bank/Broker Dealer

Capital Planning team support its regulatory stress testing initiatives (CCAR and DFAST efforts) in response to regulatory guidelines. CCAR Risk Weighted Assets (RWA) forecasting is a critical function within the Finance organization which oversees RWA forecasting for all business lines. This task involves understanding business and finance forecasting, and then applying algorithms to estimate the forecasted RWA numbers. The forecasted number is a great forward looking indicator on the amount of future regulatory capital necessary during a stressed or severely stressed economic environment, then used as an input to capital planning exercise and CCAR Fed reporting.

 

This role will offer significant exposure to senior management on aspects of the firm's capital adequacy and stress-testing activities as they relate to RWA projection reviews with the Business, Independent Risk and Finance specifically relating to Counterparty Credit Risk. The role will partner extensively with colleagues across risk, finance, model development, model validation and line of business functions on the capital stress testing processes.


Position is for head of Market Risk RWA forecasting team to support its regulatory capital such as Fundamental Review of Trading Book (FRTB), market risk RWA stress testing initiatives (Comprehensive Capital Analysis and Review aka CCAR and Dodd-Frank Act Stress Test aka DFAST efforts) in response to the Fed and OCC guidelines including playing an active roles with model risk governance framework. This role will offer significant exposure to senior management and broad leadership accountability on aspects of the firm's capital adequacy and stress-testing activities as they relate to Trading Book RWA forecasting. The role will partner extensively with colleagues across risk, finance, model development, model validation and line of business functions on the capital stress testing processes. The role will also involve significant direct interaction with the regulators. This role will require understanding of new FRTB requirements and building CCAR RWA forecasting for Trading Book exposures. Excellent interpersonal skills are required given the high level of interaction with senior members, as well as the ability to work under pressure to meet tight deadlines. Strong analytical skills with robust product knowledge of Derivatives, Securities, and Securities Financing Transactions are also required.

Responsibilities include:

  • Ensure clear understanding and manage compliance to the strategic design and implementation of the FRTB rules by partnering with Treasury, Finance, Trading Book Risk Management, lines of Business, Market Risk Analytics, Model Risk Management, Finance and Risk Infrastructure and Technology
  • Refining existing methodologies and introducing sophisticated techniques for RWA projections of Trading Book RWA estimation based on the new FRTB rules
  • Act as a sponsor, substantively manage and coordinate the end to end model lifecycle requirements as it pertains to the Trading Book RWA components
  • Manage, contribute to, and coordinate either across functions or within Risk for RWA Forecasting methodologies and Documentation, including the remediation plans as needed
  • Partnering with Market Risk Analytics, develop and manage quantitative analysis to support  compliance to the Trading Book RWA actuals and forecasting rules and regulations
  • Review Trading Book RWA risk exposure calculations for Basel, CCAR and DFAST requirements. Define and establish attribution analysis for analyzing the changes in forecasted RWA changes with respect to major risk factors
  • Contribute to the creation of Senior Management-ready materials, particularly CCAR presentations to Lines of Businesses, Independent Risk Management, Finance and Regulators
  • Work across the firm to interpret FRTB regulations, drive change and influence risk and regulatory outcomes for Trading Book RWA exposures
  • Understand the linkages and interconnectivity between Trading Book loss models and RWA forecasting models
  • Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
  • Engage with Regulators to explain results, analysis and high-level methodologies employed for stress testing
  • Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of stress testing results.
  • Develop 2nd and 3rd level leadership of RWA expertise on Market Risk exposures
  • Participate in resolution of Audit CAP, MRA and other regulatory responses as a Market Risk subject matter expert

Qualifications

  • Bachelor’s degree from a well-recognized university/institution, preferably MBA or equivalent finance degree
  • Certifications such as CFA and FRM would be preferred
  • 10+ years’ experience in related field
  • Comprehensive understanding of Trading Book RWA capital rules and regulations, CCAR requirements and processes –abreast with the FRTB rules, latest CCAR guidelines, understanding the data, oversee the submissions, synthesize the submissions, coordinating with other work streams
  • In-depth knowledge of Basel International framework and US Final Basel requirements specifically for Trading Book exposures
  • Full understanding of the lifecycle of Securities Finance Transactions and Derivatives (bi-lateral and cleared transactions) notably IR and FX derivatives and involved in attribution of valuation movements using sensitivity based analysis
  • Knowledge of forecasting of Trading Book exposures for balance sheet or risk management purpose would be plus
  • Ability to define, articulate and re-engineer complex processes and procedures, with appropriate controls, and think both strategically and tactically while driving meticulous execution
  • Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
  • Ability to manage multiple priorities and tasks, work well as part of a team, and exhibit strong people and influencing skills
  • Expertise in CCAR clearly a plus, but if not, sufficient expertise in managing a similar stress testing regime or proven ability to quickly come up to speed in managing a complex financial reporting process of comparable in complexity to CCAR
  • Strong attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
  • Solid Microsoft Excel skills and the ability to quickly develop advanced knowledge of MS Excel and Access (or other database front end query applications).

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