The Mirillion Group
Responsibilities:
Provide analysis and support on Market Risk Projects relating to FRTB implementation by:
• Ensuring overall requirements will achieve business goals and objectives
• Managing requirements across a number of sub-workstreams by providing direction and governance to the BAs and engages with Program Management Requirements Lead and Business/Operations Leads
• Responsibility for compliance to requirements approach, process and tools • Ensures completeness and quality of requirements documents produced
• Co-ordinating with workstream QA Manager to ensure requirements are ‘Testable’
• Partnering with the Business and Solution Architects to define business needs and explore, assess and recommend value-add solution options to satisfy these on the program
• Plan, elicit, analyze documents, communicates and manages High Level requirements to meet business needs
• Partners with project management to identify projects interdependencies within the workstreams
• Assisting with the analysis of regulatory requirements and related guidance documents;
• Assisting with the documentation and reporting of system enhancements, business processes, operational controls, and data flows within the market risk technology platform, ensuring accuracy and consistency with FRTB standards;
• Assisting business SMEs with the creation and development of project artefacts, such as detailed business specifications for market risk systems – with the goal of efficiently reaching FRTB standards;
• Providing effective User Acceptance Testing, ensuring the appropriate validation has occurred from Quantitative Risk Analytics and/or Model Risk;
• Working with Risk IT colleagues and other stakeholders to reach agreeable and effective solutions to often complex technical problems;
• Contributing ideas and concerns, and escalating issues for tactical and strategic system solutions and business process improvements;
• Assisting with communications and training of staff
• Assisting with project reporting and status updates to senior management; and,
• Taking on project management responsibilities as required.
Requirements:
• 5+ years of experience in capital markets, either in Market Risk, Middle Office / Product Control or Back Office.
• Hands on experience with Default Risk Charge (DRC)
• Excellent quantitative skills, MSc / PhD in Mathematical Finance or similar field highly preferred.
• Solid knowledge of derivative pricing, market risk methodologies, systems and processes, and regulatory requirements.
• Ability to clearly communicate highly technical concepts to business stakeholders.
• Strong quantitative and analytical skills, with attention to detail.
• Solid understanding of IT practices and ability to manage and prioritize development tasks.
• Ability to work autonomously.
• Results oriented with ability to work effectively under consistent time and workload pressures.
Nice to Have:
• CFA, FRM or other related professional qualifications.
• 5+ years of experience in a role within or directly supporting the market and/or counterparty credit risk groups