DESCRIPTION:

Duties: Drive implementation of FRTB (Fundamental Review of the Trading Book) Basel III endgame Market Risk Capital requirements for the Global Equities business. Partner with and influence senior stakeholders across Market Risk, Quantitative Research, Product Control, and technology to deliver joint initiatives and ensure the timely and accurate signoff of VaR and Capital numbers for the Global Equities business. Provide functional oversight of the North American based team members in the Market Risk VaR and Capital Global Equities team, taking responsibility for team deliverables, training and outcomes. Lead technology and data strategy for the MRBG LOB team, and co-ordinate tech prioritization and data strategy for the MRBG LOB team and mentor and direct junior coders within the team to ensure consistency and quality of the solutions delivered. Provide expertise and governance on the regulatory capital rules for Risk, Finance and Front Office business- aligned teams. Drive and support market risk capital data and infrastructure initiatives across partner teams in Market Risk, QR, Product Control, Technology, the Business and Data Science partner groups. Implement and oversee end-to-end controls of the capital measures by partnering with key stakeholders. Support the implementation of FRTB for the Global Equities business.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, or related field of study plus 3 years of experience in the job offered or as Market Risk Governance Lead, Market Risk Associate, or related occupation. The employer will alternatively accept a Bachelor's degree in Financial Engineering, Finance, or related field of study plus 5 years of experience in the job offered or as Market Risk Governance Lead, Market Risk Associate, or related occupation.

Skills Required: This position requires three (3) years of experience with the following: U.S. banking regulations for Market Risk Capital under Basel 2.5 and draft Basel III (FRTB) frameworks; Pricing, valuation, risk sensitivities, including Greeks and P&L simulation, of Equities and Macro financial instruments and derivatives using statistical models and methodologies including Black-Scholes and stochastic pricing models, time series analysis and visualization, regression based models such as linear or logistic, binomial pricing models, bootstrapping techniques and decision trees; Working with probability theory, Value at Risk models, and option pricing theory; Quantitative models for pricing and hedging derivatives, Monte Carlo simulation, backtesting and modelling of idiosyncratic risk; Forecasting probability distributions of market factors; Handling datasets, automation of processes and visualization of data driven insights using Python, Tableau and Excel; Data science models including Num Py, Sci Py and Pandas; Building tools and dashboard for data visualization of datasets; Writing internal policies and procedures for reviewing VaR and Market Risk capital measures subject to internal audit and external regulatory review.

Job Location: 237 Park Avenue, New York, NY 10017

Full-Time. Salary: $196,036 - $238,000 per year.