Market Risk FRTB Director

London, United Kingdom
Jul 07, 2022
Jul 16, 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
What will you be doing

The focus of the role will be to support the development and deployment of Fundamental Review of the Trading Book (FRTB) capitalisation rules for Market Risk. The role is within the Market Risk department, reporting to the Head of Market Risk Portfolio Management.
This is an exciting opportunity to be part of the team shaping the future of market risk calculations within Barclays. The successful candidate will be involved in a fast-paced and dynamic project with strategic importance to the Bank.

Key Accountabilities
• Leading the delivery of key FRTB-SA and FRTB-IMA components
• Presenting FRTB output and impact assessments to senior management, business managers, and Treasury
• Reviewing FRTB results for regulatory and internal reporting
• Supporting FRTB development e.g., specific calculation components, data issues
• Improving the FRTB production process and control environment

What we're looking for

• The role holder will be expected to take the lead on various aspects of the project and operate with a high degree of self-sufficiency
• The person will have a keen interest in financial markets and Market Risk concepts from both a functional and technical perspective
• A self-starter, focused on timely delivery, with the ability to think and pro-actively drive tasks through to completion with other team members
• Strong team player, with the ability to work with various project teams based in different locations
• Strong process and control mindset
• Excellent communicator, both verbally and in written form

Skills that will help you in your role

• Bachelor or Master's degree in Finance, Maths, Statistics, Sciences, Engineering or Economics or substantial directly related experience.
• Experience in financial markets (market risk, counterparty credit risk, product control, QA or IVU).
• Experience of leading small teams involving collaboration across multiple departments
• Strong written and verbal communication skills
• Understanding and familiarity with pricing and market risk models
• Experience with review and challenge functions e.g. IVU, audit or regulators
• Understanding of Basel III and FRTB rules
• Strong Microsoft Excel and SQL skills
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