Job Description
This role is part of the Risk Methodologies and Analytics (RMA) Team which is part of the Bank’s Risk division. RMA is a cross‑functional Risk Management team that reports to the Head of RMA and is responsible for various methodologies on a quantitative and qualitative basis for Market Risk, Counterparty Credit Risk, Credit Risk, Operational Risk, Liquidity Risk, Business Risk and portfolio modelling relating to Economic Capital.
What you’ll be doing
You’ll be responsible for:
- Supporting and developing the MR and CCR methodology framework and providing methodological assurance for the new product approval process.
- Supporting regulatory‑related work in a broad sense covering pillar 1 (IMA, FRTB SBA) and pillar 2 (a – internal capital /b – stress capital framework) in relation to MR / CCR.
- Participation in changing the bank strategic initiatives where it crosses over MR / CCR methodology.
- Assisting on and taking ownership, wher...