Vice President, Market Risk Reporting

BNY Mellon
Pittsburgh, USA
01 Feb 2023
15 Feb 2023
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time

Role opportunity:

The Market Risk Reporting team at BNY Mellon is responsible for daily market risk reporting of the bank's Trading Book. We perform reconciliation, quality controls for daily market risk reports as well as backtesting of our VaR models. The industry as a whole is in the midst of designing and implementing our bank's FRTB framework in preparation of the anticipated 2025 go-live date.

We are looking for a team member to help assess our current reporting infrastructure and workflow, identify gaps or new required processes, design, build, and implement our new FRTB reporting framework.

  • Develop a deep understanding of our end-to-end risk reporting process by performing daily reporting functions such as quality control checks of our risk engine inputs and outputs, diagnosing reporting issues, performing VaR models backtesting, etc.
  • Perform end to end analysis and review of our current Basel 3 reporting process
  • Utilize your knowledge in Basel/FRTB framework, identify gaps in our current process
  • Help design, build, and implement our new FRTB program
  • Work cross-functionality with Technology, Front Office, Finance, Desk Risk Management, Market Risk Modeling to ensure successful implementation of FRTB framework by go-live date
  • Provide business requirements to be implemented by Technology
  • Update our current policy and procedures to reflect new FRTB requirements
  • Participate in the implementation of SA-CVA calculator
  • Apply broad knowledge of market risk management best practices, financial markets, trading instruments, and/or portfolio management in support of analyzing, monitoring and measuring risk
  • Partner with the business to help them achieve their objectives within the Risk Appetite of the firm. Assist in the development and implementation of tools and procedures to measure and monitor multiple risks hierarchically and across the entire organization
  • Handle market risk data analysis, reporting, and monitoring for the business(es) supported and for market risk management, ensuring accuracy and correctness; develops appropriate tools, partnering with Technology where needed.
  • Use existing strategic relationships to influence at all levels of the organization.

The ideal candidate will possess the following qualifications:
  • 5-7 years of experiences in market risk and or front office risk preferred
  • Extensive knowledge of current Basel 3 and FRTB framework
  • Background in math, statistics, finance, economics, risk management, operations research, or a similar field preferred
  • Broad understanding of major financial instruments and their associated risk profiles
  • Being able to extract and analyze large volume of data using technical tools such as SQL, VBA, Python, etc
  • Had experiences in building dashboards/reports using Tableau and/or Power BI
  • Ability to think strategically and independently
  • Highly detail oriented, organized, and analytical
  • Excellent written and verbal communication skills, including the ability to translate business needs to clear and concrete requirements for Technology to implement
  • Experiences in VaR model backtesting is a strong plus
  • Experiences in Counterparty/Credit Risk and CVA is a strong plus

Employer Description:

For over 230 years, the people of BNY Mellon have been at the forefront of finance, expanding the financial markets while supporting investors throughout the investment lifecycle. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments and safeguards nearly one-fifth of the world's financial assets. BNY Mellon remains one of the safest, most trusted and admired companies. Every day our employees make their mark by helping clients better manage and service their financial assets around the world. Whether providing financial services for institutions, corporations or individual investors, clients count on the people of BNY Mellon across time zones and in 35 countries and more than 100 markets. It's the collective ambition, innovative thinking and exceptionally focused client service paired with a commitment to doing what is right that continues to set us apart. Make your mark:

EEO Statement:

BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans. Our ambition is to build the best global team - one that is representative and inclusive of the diverse talent, clients and communities we work with and serve - and to empower our team to do their best work. We support wellbeing and a balanced life, and offer a range of family-friendly, inclusive employment policies and employee forums.
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