Capital Risk Lead [Multiple Positions Available]
Duties: Support the firm's capital governance framework through independent research, interpretation, and application of regulatory guidance and policy interpretations to maintain compliance with publicly issued regulatory capital rules in a dynamic and complex regulatory environment. Monitor market economic drivers and macroeconomic factors to analyze changes in Risk-Weighted Assets (RWA) and capital requirements. Evaluate and model market risk scenarios to inform capital planning and stress testing. Provide timely, actionable challenges to stakeholders regarding internally developed capital policy guidance and exposure categorization recommendations to ensure adherence with capital rules. Evaluate complex market risk pricing models, analytical tools, and calculators to verify alignment with current Market Risk Capital Rules, Fundamental Review of the Trading Book, and other regulatory capital frameworks. Collaborate with model development and validation teams to address findings, implement enhancements, and document model governance processes. Work cross-functionally to design, enhance, and maintain robust market risk dashboards and analytical tools focused on capital metrics. Drive automation and process improvements in capital reporting and analytics.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Finance, Mathematics, or related field of study plus five (5) years of experience in the job offered or as Capital Risk Lead, Capital Risk Manager, Market Risk Manager, Quantitative Analyst, or related occupation. The employer will alternatively accept a Bachelor's degree in Financial Engineering, Finance, Mathematics, or related field of study plus seven (7) years of experience in the job offered or as Capital Risk Lead, Capital Risk Manager, Market Risk Manager, Quantitative Analyst, or related occupation.
Skills Required: This position requires five (5) years of experience with the following: performing calculations and analysis of market risk, credit-valuation adjustment, emerging asset classes, including presenting and defending analysis to internal and external stakeholders; managing the market risk capital of a financial institution; leveraging machine learning, Python, and analytical market-based platforms to gather and analyze capital data to develop and run models for financial and risk analysis; using PowerPoint to prepare and present results of financial and risk analysis and recommendations; automating market risk reporting using SQL; computing market risk and credit-valuation adjustment risk-weighted assets (RWA) and preparing variance analysis using standardized and advanced approaches under the U.S. Basel III capital rule; analyzing market risk and market risk exposure and associated capital and RWA including Value-at-Risk (VaR)-based measure, Stressed VaR-based measure, incremental risk charge, and the market risk standardized charge; managing VaR and Stressed VaR metrics by calibrating and validating risk models to quantify potential losses under normal and stressed market conditions; setting and reviewing market risk limits in line with quantitative analysis, regulatory requirements, and a financial institution's risk appetite; collaborating cross-functionally with Finance, Risk Management, Legal, and Capital Management teams to ensure effective risk governance; evaluating and approving trades and new product offerings based on risk-reward analysis; utilizing variance, standard deviation, and normal distribution to quantitatively analyze data for risk assessments and stakeholder decisions; designing and implementing Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Test scenario frameworks and stress testing programs to ensure regulatory compliance.
Job Location: 4 Chase Metrotech Ctr, Brooklyn, NY 11245.
Full-Time. Salary: $200,900 - $209,000 per year.