Our client, a leading financial company, is hiring a Risk Policy SME on a contract basis.
Work Location:
New York, NY
Summary:
This position provides an opportunity to join the US GRPA team as a subject matter expert, with a focus on providing policy guidance on the Fundamental Review of the Trading Book (‘FRTB’) / new Market Risk capital requirements within the US Agencies’ proposed adoption of the ‘Basel III Endgame’. Specifically, the role will lead on the analysis and interpretation of FRTB in the US, with an expected emphasis on all aspects of the standardized measure, as well Trading Book / Banking boundary, and internal risk transfers. The role will be based in New York City, however qualified candidates based outside of the New York City area may be considered.
Key responsibilities of GRPA are to:
• Track new policy developments and formulate the client’s regulatory capital policies accordingly, providing detailed, actionable guidance, distributed to a wide range of stakeholders. The US GRPA team is responsible for monitoring new developments impacting the US prudential regulatory capital regime, as administered by the US Agencies – the Federal Reserve, OCC, and FDIC;
• Produce and review regulatory opinions on complex transactions and new products to ensure compliance with Group regulatory policies;
• Provide technical support and guidance to internal colleagues across all businesses and functions;
• Provide technical support on the implementation of new regulatory requirements;
• Drive the client’s response to future regulatory developments and influence the external development of regulatory policy by writing public responses to new proposed standards and discussion papers;
• The Market Risk Regulatory Policy Manager will be responsible for leading on the development of a full library of policy interpretations which lay out the client’s approach to aspects of the US FRTB rules which may be silent or ambiguous.
The successful candidate will represent a key element of the client’s Second Line of Defense, providing both guidance and challenge to senior Risk Owners. GRPA ensures timely notification of new policy changes that impact calculations of RWAs, the leverage ratio, Liquidity ratios, and capital resources, as well as any related regulatory reporting impacts, and in the case of new prudential capital rules such as FRTB, provides end-to-end policy support to facilitate implementation.
Required Qualification Skills & Experience:
•Someone who has an understanding of existing market risk rules would likely have the right mindset on how regulatory capital works. This is someone who is more processing and not reporting. Market Risk RWA is the specific part this team needs help with. Basel(BCBS) committees version of FRTB would be a transferable skill.
•Strong technical working knowledge of the prudential regulatory capital rules relating to the calculation of regulatory capital resources, RWAs, and the leverage ratio, with an emphasis on Market Risk RWAs and Market Risk Covered Positions;
•This includes technical subject matter expertise on key components of the Standardized Measure for Market Risk under US FRTB, including the Sensitives-Based Method, Standardized Default Risk, Residual Risk Add-on, Fallback Capital Requirement, Capital Add-on for Re designations, and any Additional Supervisory Capital Requirements;
•Knowledge of these concepts under US (Fed / OCC / FDIC) rules is essential. Knowledge of these concepts under Basel / BCBS rules, and under UK / PRA rules is highly desirable;
•Knowledge of the historical / existing market risk capital framework under US, BCBS, and/or PRA rules is also desirable;
•Excellent communication skills, both written and verbal, including the ability to diplomatically provide feedback on draft prudential regulation to both internal and external stakeholders;
•Strong problem solving skills;
•Strong Second Line of Defense / control mind-set with the ability to support other control functions that are responsible for ensuring the regulatory capital requirements are followed;
•Professional approach and presentation;
•Ability to work and thrive across a multi-location team of technical specialists;
•Professional approach and presentation, ability to manage a wide range of stakeholders including senior management across Finance, Risk, Front Office, and other areas
•In depth understanding of the regulatory treatment of a broad range of financial products, particular those within the client’s Markets and Securities Services business lines
•Ability to act as an advisor and challenger to business lines and other control functions on all aspects of regulatory capital policy;
•Ability to formulate and articulate defensible interpretations of ambiguous rule text; and
•Ability to prioritize competing deliverables for a broad range of stakeholders.
Pay Range: $100- $120/hour