Market Risk Business Analyst (FRTB)

Fundamental Review of the Trading Book (FRTB) commenced in 2016 and is the joint responsibility of the Front Office and Traded Risk Management to implement.

FRTB rules require substantial changes to modelling, infrastructure and Financial Markets, Risk and Capital operating models. The project is organised into three streams:

• FRTB Model Development - end-to-end definition, implementation, integration and validation of the technology solution.

• Capital Impact and Regulatory Engagement - the provision of (mandated) external and internal quantitative impact studies; regulatory interpretation and advocacy, regulatory and industry engagement and local regulatory adoption.

• Capital Optimization, Change Management and Target Operating Model - definition, planning and implementation of the parallel run and live activities for FRTB operating models and transitional impacts of new regulatory regime on Market Risk Capital.

• To provide technical solution analysis on FRTB localization analysis, requirements gathering, and impact assessment/co-ordination of technical changes driven by regulation.
• Preparation for impact of local regulatory consultations and publications on the Group FRTB solution, confirm local ownership of the impacts of same on TB/BB boundary, use of own sensitivities, IRT etc.
• Work directly with Country TRM/Finance and Group Capital colleagues to reconcile product scope and coverage providing recommendations on end state operating model locally and ensuring readiness for 2025 PRA reporting.
• Feed into the delivery of internal regulatory reporting capabilities for FRTB market risk, across multiple regulators and all in scope asset classes driving out design questions and prototyping of strategic FRTB capital management information system for internal users.
• Validate FRTB capital numbers generated in SIT, UAT and production environments for newly implemented/modified capital models/localizations and internal reporting capabilities from risk systems.
• Support preparation of Capital Management, Risk Management and Front Office colleagues for the implementation of the new FRTB market risk capital regime through comparative analysis, requirements documentation and support training of same to explain the impact of technical changes driven by FRTB at Solo/Sub and Group hierarchy.
• Input into route to live activities e.g., Operating models presenting context/content to wider audiences, including Accountable Executives and Risk Committees.
• Assist in the preparation of anticipated or ad-hoc regulatory engagement including the drafting of specific responses to regulatory questions.
• Assist in the analysis of the impact of local regulatory applications including supplying of analysis to support decision making locally e.g., BA CVA vs. SA CVA.

MUST

• To provide technical solution analysis on FRTB localization analysis, requirements gathering, and impact assessment/co-ordination of technical changes driven by regulation.
• Preparation for impact of local regulatory consultations and publications on the Group FRTB solution, confirm local ownership of the impacts of same on TB/BB boundary, use of own sensitivities, IRT etc.
• Work directly with Country TRM/Finance and Group Capital colleagues to reconcile product scope and coverage providing recommendations on end state operating model locally and ensuring readiness for 2025 PRA reporting.
• Feed into the delivery of internal regulatory reporting capabilities for FRTB market risk, across multiple regulators and all in scope asset classes driving out design questions and prototyping of strategic FRTB capital management information system for internal users.
• Validate FRTB capital numbers generated in SIT, UAT and production environments for newly implemented/modified capital models/localizations and internal reporting capabilities from risk systems.
• Support preparation of Capital Management, Risk Management and Front Office colleagues for the implementation of the new FRTB market risk capital regime through comparative analysis, requirements documentation and support training of same to explain the impact of technical changes driven by FRTB at Solo/Sub and Group hierarchy.
• Input into route to live activities e.g., Operating models presenting context/content to wider audiences, including Accountable Executives and Risk Committees.
• Assist in the preparation of anticipated or ad-hoc regulatory engagement including the drafting of specific responses to regulatory questions.
• Assist in the analysis of the impact of local regulatory applications including supplying of analysis to support decision making locally e.g., BA CVA vs. SA CVA.

NICE TO HAVE

• To provide technical solution analysis on FRTB localization analysis, requirements gathering, and impact assessment/co-ordination of technical changes driven by regulation.
• Preparation for impact of local regulatory consultations and publications on the Group FRTB solution, confirm local ownership of the impacts of same on TB/BB boundary, use of own sensitivities, IRT etc.
• Work directly with Country TRM/Finance and Group Capital colleagues to reconcile product scope and coverage providing recommendations on end state operating model locally and ensuring readiness for 2025 PRA reporting.
• Feed into the delivery of internal regulatory reporting capabilities for FRTB market risk, across multiple regulators and all in scope asset classes driving out design questions and prototyping of strategic FRTB capital management information system for internal users.
• Validate FRTB capital numbers generated in SIT, UAT and production environments for newly implemented/modified capital models/localizations and internal reporting capabilities from risk systems.
• Support preparation of Capital Management, Risk Management and Front Office colleagues for the implementation of the new FRTB market risk capital regime through comparative analysis, requirements documentation and support training of same to explain the impact of technical changes driven by FRTB at Solo/Sub and Group hierarchy.
• Input into route to live activities e.g., Operating models presenting context/content to wider audiences, including Accountable Executives and Risk Committees.
• Assist in the preparation of anticipated or ad-hoc regulatory engagement including the drafting of specific responses to regulatory questions.
• Assist in the analysis of the impact of local regulatory applications including supplying of analysis to support decision making locally e.g., BA CVA vs. SA CVA.