Market Risk Manager

Location: Sydney CBD, New South Wales
Contract Type: Permanent
Specialisation: Banking & Financial Services
Salary: Negotiable
REF: BBBH223509_1533625211

This is a fantastic opportunity to join a leading Australian bank's Market Risk team working on their FRTB Project. This is an exceptional opportunity to join the bank working on the most significant regulatory changes since the liberalisation of the derivative markets. This is an opportunity to lead the design and build of a solution that makes significant changes to the bank's operating model and strategy across all trading and treasury activities

Nature of the project and opportunities

The opportunities focus on designing, building and testing solutions to enable the bank to meet its reporting obligations as well as driving enhanced risk based decision making. Key areas of focus include:

  • Replacing VaR and Stressed VaR with ES (Expected Shortfall Methodology) to capture and tail risk
  • Implementation of Standardised Approach Models for the calculation of Correlation Trading market risk capital
  • Non-Modelable risk factors
  • Desk-Level P&L Attribution, Back-testing and Model Review
  • Intra-day Market Risk monitoring and measurement
  • Enhanced disclosure of desk level MR Capital Charges including Standardised Approach calculations
  • Disclosure of consolidated market risk RWAs, P&L Attribution and Back-testing

Due to the nature of the project and the multiple roles on offer; every opportunity has a different area of focus. There are currently three streams that focus on the following:

  • Inputs Stream: Creating the interface between the data and the risk engines and developing a new visual risk analytics capability
  • Quant Stream: Models/Risk Engines
  • Outputs Stream: Regulatory Deliverables

Responsibilities include:

Within the above areas of focus you will be responsible for the following:

  • Responsible for implementing FRTB requirements in a timely manner and providing support to the MRA Lead for FRTB to deliver according to project plan deadlines
  • Ensuring alignment between work on FRTB and other initiatives such as integrating the SKY risk engine with the market risk infrastructure
  • Collaborate with wider Markets Risk and Technology teams in designing solutions to ensure speed to market of product and associated system changes. Anticipating future needs and including within current functional designs
  • Provide accurate and insightful management information and analysis to support project planning and decisions
  • Responsible for formulating MRA requirements to ensure all regulatory obligations are understood, captured, testable and delivered to create a modular, integral, maintainable infrastructure
  • Responsible for supporting proper project processes so future audit reviews or model validation do not highlight any material process gaps or issues
  • Responsible for assessing feasibility and, analysis of proposed requirements, the logical modular architecture, the logical data model and test scripts
  • Responsible for working with Market Risk and Technology teams to analyse and understand results produced
  • Responsible for ensuring the project introduces sound procedures and workflows that promote excellent data integrity

Candidate Requirements:

To be successful you will need to have excellent general market risk knowledge gained through experience within either: Traded or Non-Traded Market Risk, Liquidity Risk or Trading experience gained within FICC/ALM. You will also need to have strong experience within one of the following areas:

  • Database Structuring, visual analytics and predictive modelling
  • Market Risk specific Quantitative Modelling
  • Market Risk Reporting including: report design, modelling and testing

Other knowledge and skill requirements include:

  • Strong understanding of the qualitative issues within FRTB
  • Ability to develop concise and insightful summary presentations for Senior Leadership using a variety of data sources
  • Ability to span organisational boundaries to engage others, influence outcomes and drive change
  • Advanced understanding of financial products, risk and market risk in particular, statistics and analytics
  • Highly developed analytical skills, an ability to work with large complicated datasets
  • Post Graduate qualification preferred (Masters or PhD) in a quantitative discipline (Finance, Science or Engineering)