PCH - Quant Risk_1585307698
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My client, a top tier global bank is looking for a Head of FRTB Modelling - Director based in London. This role will be reporting to the Global Head of Market Risk Analytics and responsible for all FRTB model development.
- Context: since the Lehman's default, regulators have placed significant focus on how banks measure, manage and capitalize market risk. The latest and the most significant in a long list of new market risk regulations is Fundamental Review of Trading Book (FRTB) under the aegis of Basel III. FRTB completely overhauls the market risk capital framework and the bank has undertaken a large front-to-back programme to satisfy its requirements. This means many of the existing models need to be revamped while a number of others need to be built from scratch.
- The role would have oversight for the FRTB market risk models applied globally. These models will need to meet internal standards as well as be compliant with regulatory expectations.
- The role will lead the development of Market Risk Quantitative Library to implement aspects of the FRTB models
- The role will need to drive high standards across the organization, promoting consistency and harmonization where possible, whilst ensuring that the models are kept-up-to-date with current market and regulatory conditions.
- The role will need to continuously interface with regulators and effectively communicate the model effectiveness. In addition, there will be opportunity to participate in industry forums to discuss and influence potential policy decisions.
- The role will be the point of contact to the Global Markets business on FRTB market risk models.
- Strong analytical skills. Minimum Masters level in Math/Science/Engineering discipline
- Extensive knowledge of market risk regulation, especially FRTB
- Extensive experience of developing risk models
- Ability to assess market and regulatory trends
- Good understanding of other areas, e.g. Finance, Credit, ALM
- Strong leadership, communication and engagement skills
- Persuasive, including an ability to influence without direct authority
For more details, please send your CV to email@example.com
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