Basel Measurement & Analytics Market Risk Associate Basel Measurement & Analytics Market Risk  …

in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
Basel Measurement & Analytics Market Risk Associate
The Market Risk team within BM&A is responsible for implementation, calculation, analysis, and reporting with respect to the Basel Market Risk Rules. Market Risk Capital (MRC) and the calculated RWA rely heavily on internal risk models developed by Market Risk Quantitative Research (MRQR) based on the Basel rule requirements. Specifically, the team is responsible for understanding the methodologies used for Value at Risk (VaR), Stress VaR, Internal Model Specific Risk (SR), Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM) and Standardized Specific Risk. The team works closely with Capital Policy & Oversight (CP&O) on rule interpretation and interfaces with Market Risk Coverage, Market Risk Basel Group (MRBG) Market Risk Middle Office (MRMO), LOB business partners and other groups to manage the controls and explain the capital measures.

The candidate's responsibilities include the calculation, explain, consolidation and reporting of Market Risk RWA. The candidate will be working closely with multiple teams and business partners to perform his/her duties and provide support to senior management. Responsibilities for this role include, but are not limited to:
  • Verify, analyse and explain the inputs and output of RWA calculations
  • Provide RWA for quarterly Financial Reporting, CCAR and Resolution & Recovery
  • Manage calculation infrastructure and ensure compliance with rules
  • Translate new rules and policy decisions into business requirements for implementation
  • Perform impact analysis on methodology and rule changes and ad-hoc queries
  • Assess and update operational procedures, controls and process flows as appropriate
  • Identify operational risks and work towards streamlining and improving process efficiency and controls
  • Manage team and provide appropriate coaching, training and development support

  • Degree in a Finance, Economics, Statistics, Engineering, Computer Science or related field; advanced degree a plus; FRM certification a plus; knowledge of Market Risk Rules a plus
  • 5+ years' experience in Finance, Risk Management, or related field
  • Product Control, Valuation, or Market Risk related experience preferred
  • Must have experience in derivative products across one or more asset classes (Credit Derivatives a plus)
  • Successfully partnering with technology and business to define requirements and drive issue resolution
  • Experience with working in a highly regulated environment and identifying, performing, and documenting controls and governance processes
  • Prior experience in analysing and investigating the output of risk or pricing models on a daily basis
  • Experience supporting large initiatives across multiple functional groups
  • Comfortable with handling large datasets; Strong Excel skills; Tableau & Alteryx experience a plus
  • Strong analytical, critical thinking, and problem solving skills with a track record of execution against deliverables; including the ability to take ownership and work independently while contributing to the broader team
  • Self-motivated team-player. Must possess the ability to research and resolve issues independently while working across teams to acquire needed information
  • Excellent communication skills (both verbal and written)
  • Superior attention to detail and process-orientation
  • Ability to synthesize and analyse large amounts of data to ascertain key facts and trends
  • Strong organizational skills and an understanding of process controls and reporting
  • Ability to work well under pressure, manage tight deadlines and balance multiple priorities
  • Ability to manage, develop and influence people
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