Overview

Specifically, you will design and implement methodologies related to the Comprehensive Capital Analysis and Review (CCAR) for USA Holdco and the the design and implementation of US Basel III Market Risk RWA generation for USA Holdco.

Responsibilities:

  • Support the development of market risk regulatory capital leveraging RBC capabilities where possible;
  • Understanding of the USA Holdco trading book;
  • Generation of models-based general market risk RWA;
  • Generation of standardized specific market risk RWA including the SSFA calculation for securitized products;
  • Staying abreast of evolving local regulatory standards to ensure the impact is understood and implemented as necessary;
  • Coordination with IT to develop and refine the process for RWA generation and reporting
  • Documentation of process and Basel III rules.
  • Assist in the development of RWA projection methodologies;
  • Assist in building internal rating model.
  • Assist in documentation needed for Fed submissions

Requirement:

  • At least two years of risk management experience obtained in a financial institution or other comparable environment;
  • Strong negotiation, oral and written communication skills;
  • Knowledge of trading products;
  • Proficient in Polypaths, Excel, VBA, relational databases such as SQL and Access
  • Ability to accept accountability, assume leadership and demonstrate initiative;
  • Masters degree;
  • Understanding of US Basel III rules for Market Risk RWA including SSFA

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