Job Description
· Regulators world wide have changed banks capital requirements and GBM Market Risk is developing tools to comply with new requirements as well as managing capital calculation processes like that for Risks not in VaR (RNIV) and Forward Looking Event Risk, which is a stress test that needs to be capitalized- · GBM Market Risk is working to comply with FSA imposed stress testing requirements- The candidate - will assist in shaping the future GBM Market Risk stress testing programme and ensuring that GBM implement a robust stress testing framework that is enshrined in the corporate culture
- will be involved in all aspects of stress testing, from designing the architecture of new stress testing tools and infrastructure, to assisting the team in producing stress test in a timely and coordinated manner across market risk
- will participate in rolling out stress testing tools to Market Risk managers and senior management
· GBM Market Risk has to calculate capital charges for several of the new capital measures imposed by the regulators- The candidate would manage the processes related to that and ensure that the charges are calculated in accordance with Market Risk Policy and using the approved methodology- GBM Market Risk Capital and Policy team is building the skill set to enable the team to become the point of contact for Finance and management when it comes to explaining RWA (risk weighted asset) changes
Requirements
Analyse stress testing results- Develop detailed knowledge of risk managed in the major trading businesses- Ensure stress test information is accurate and highlights key risk- Help shape the stress testing methods and culture within RBS Help with the design of the architecture for the Front Office Revaluation Stress Testing (FOREST) tools being developed by MR Investigate Stress Numbers that are out of line by researching the source and/or by speaking to the relevant market risk manager Manage in development and implementation of improvements to RNIV evaluation and other capital add-on's- Create robust infrastructure to manage the process Management of limit structure, assist senior market risk management in developing a limit structure for all the major trading businesses- Build relationships with line market risk managers and staff in capital and credit risk management- Effectively work with Market Risk Change function in order to ensure our projects are being developed according to Market Risk requirements and are compliant with FSA and Group guidelines Communicate effectively with team, manager and contacts in other teams -
Responsibilities
Manage testing process of market risk stress tools and work with the project teams to enable the new systems are ready to be used in daily risk assessment by market risk managers Review risk measurement models for risks not in VaR (RNIV) and inputs that go into these capital measures Manage Stress Testing projects (infrastructure design to implementation) Coordinate and run stress tests for MR, senior management, Group, FSA and European regulators) Help with the implementation of new (FSA required) stress test Prepare Market Risk Stress Testing Committee Manage market risk capital add-on projects and ensure accuracy of the numbers and timeliness of submissions- Liaise with Finance and Reg reporting and build skills to explain RWA changes
The Individual
In depth knowledge of financial markets and products Quick learner Ability to work well independently and as part of a team Effective time management Excellent conversational and written English Mathematics A level grade A or equivalent First degree in a numerate discipline, or equivalent Strong Excel skills Foundation level of understanding risk metrics Risk management experience in various asset classes Understanding of key risk concepts across different asset classes Economic intuition of market behaviour in crises situations Project management experience Effective communicator MSc or PhD in a relevant subject Advanced Excel Skills
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