Position
Specific Responsibilities and Accountabilities:
Market Risk.
Test new market
risk methodology functionalities related to the IBOR transition to Risk Free
Rates (ESTER, SOFR, etc.) for VaR and FRTB IMA metrics.
Participate in
the reviews of the group wide functionalities tests including impacts analysis
drill downs in the UAT environment.
Liaise with
relevant stakeholders from Front Office quants, Market Risk Managers and
Risk-IT to fix issues discovered during the testing.
Amend existing
model documentation with the pertaining model changes per SR11-07 documentation
standards.
Ensure adherence
to industry standards and regulatory requirements (in particular with regard to
Basel and CRR related to FRTB).
Prepare for
internal model governance and regulatory review processes; coordinate and
secure agreement on model design with relevant stakeholders.
Development of
complex processes, framework or risk analysis as well as improvements.
Remediation of
regulatory as well as external and internal findings against the MR models.
Enhance the
conceptual soundness and robustness of implementation of market risk HS as well
as first line of defense responsibility for the related model risks and related
governance (e.g. facilitating the model risk approvals, Risk not in VAR
processes, etc?).
Ensure all
material risks within assigned areas are captured, stressed appropriately, and
reported to senior management.
Oversee and
engage in production and analysis of regular market risk reports &
presentations.
Management of
large-scale (partial) projects in line with the assigned tasks.
Development and
improvement of key quantitative models to measure & model market risk taken
by the bank.
Represent HS
Team on group wide internal working groups, committee’s and projects/forums.
Create and
maintain strong relationships within risk and key stakeholders.
Quality
assurance (e.g. 4 eyes principle reviews.
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