Job Description

Reference # : 21-00624Title : Securitization Lead
Location : New York, NY
Position Type : Right to Hire
Experience Level : Start Date / End Date : 05/24/2021 / 11/23/2021

Spot RWA Trading Book and Non-Trading Book Securitization Lead (C14/SVP equivalent)

Major Global Bank is a leading global financial services company having 200 million customer accounts. Major Global Bank does business in more than 100 countries, providing consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, and wealth
management.Join Capital Planning Spot Risk Weighted Assets (RWA) Integrity team within Major Global Bank Treasury
organization. Treasury Capital Planning (CP) team ensures that Major Global Bank has a robust, sustainable, and Spot and Forward-looking capital process. The Spot RWA Integrity team is responsible for ensuring RWA is appropriately identified, calculated and reported adequately taking into account the Bank's size, complexity, and overall risk profile. Further, the RWA Integrity team provides sole focus on the controls and governance of the Spot RWA production process. The role is to lead the Spot RWA Trading Book (TB) and Non-Trading Book (NTB) Securitization team, which reports into the Head of RWA Integrity. The Spot RWA TB & NTB Securitization team is responsible to ensure accuracy and Integrity of RWA calculations and reporting of Standardized and Advanced RWA, and Supplementary Leverage Exposure (SLE). The lead role is of a regulatory capital expert in TB & NTB Securitization products, providing critical challenge and driving the diagnostics and remediation of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting. This role provides extensive exposure to colleagues across risk, finance, technology, and line of business functions. Excellent interpersonal skills
are required given the high level of interaction with senior managers, as well as the ability to work under pressure to meet tight deadlines. Technical skill is important to the candidate's success, and so are strong project management and multi-tasking skills to plan and manage deliverables towards a number of objectives.
The Spot RWA TB & NTB Securitization Team Lead will be responsible for
• Managing end to end production, governance and controls of TB & NTB
Securitization products Standardized and Advanced RWA, and SLE Actuals
• Manage a team of TB & NTB Securitization products expert and provide oversight to
Shared Services team supporting RWA operations and production of TB & NTB
• Create and build a TB & NTB Securitization governance framework, procedures, and
operating model
• Define, develop and establish attribution and other analytics that can effectively
demonstrate exposure, EAD and RWA calculations for TB & NTB Securitization
product are accurate and commensurate with Major Global Bank's size and complexity. This analysis
will include variance analysis period over period are explained (with attribution to
exposure and risk factor changes) in a reliable and transparent manner
• Responsible for providing RWA strategic analytics, information management across
TB & NTB Securitization products and reports to senior management.
• Responsible for communicating to executive management implications of existing and
proposed regulation and developing potential responses. This may include
regulations related to specific product or macro / systemic regulation, including
standards to comply with Basel III / Basel III Reforms, MiFID, U.S. Fed, Treasury,
FDIC and regulations from other central banks and regulatory authorities.
• Provide thought leadership and requirements for TB & NTB Securitization products
analytics using Artificial Intelligence and Machine Learning tools that enhances
further transparency to the overall RWA calculations and reporting process
• Ensure RWA calculations and Reporting process, Governance and Controls
Framework is well-defined, transparent and documented in a comprehensive manner
• Define, develop and establish robust control processes that can effectively
demonstrate US Basel III regulatory capital requirements for TB & NTB Securitization
products RWA are applied in an accurate and appropriate manner. Specifically, for
TB and NTB Securitization establish controls to track, monitor and analyze SFA and
SFA manual uploads for appropriateness of risk factors and tranche structures
• Ensure model changes for TB & NTB Securitization products are well understood,
implemented and tested for regulatory notification and submission. This will include
developing insights estimating impacts because of model changes and periodic
updates to underlying referential data (e.g. servicer reports)
• Define, develop and establish TB & NTB Securitization RWA governance in
compliance with the US Basel regulatory rules• Ensure second line of defense TB & NTB Securitization products RWA reviews are
performed consistently and feedback if any, and comments are addressed in a timely
• Manage and address TB & NTB Securitization products RWA reviews by other
control functions such as Internal Audit, Independent Compliance Risk Management,
Capital Planning Review Group etc. and feedback if any, are remediated in an
appropriate and timely manner
• Identify potential process improvements and capabilities to increase consistency,
transparency, and reliability of RWA calculation, governance and controls process.
• Drive the diagnostics and remediation activities of a broad range of regulatory capital
calculations that encompass governance, data and non-data controls, processes,
system implementation and regulatory reporting.
• Develop senior management-ready materials, particularly TB & NTB Securitization
RWA analytics presentations to Lines of Businesses, Senior Governance Groups,
Independent Risk Management, Finance and Regulators
• Drive change and influence risk and regulatory outcomes. Provide appropriately
conservative solutions from a Regulatory Compliance perspective, in partnership with
Business, Risk, and Finance teams
• Develop a strong working relationship with Finance, Front Office, Treasury,
Technology, Audit, Independent risk and other counterparts across the organization
• Partnering with Multi Asset Quantitative Analytics (MAQA) and Line Risk
Management, develop and manage quantitative analysis to support Client's compliance
to the Securitization RWA rules and regulations
• Comprehensive understanding of US regulatory capital rules for TB & NTB Securitization
products both Basel III and Basel III reforms rules with demonstrated ability to assess
the application of those rules vs. regulatory expectations
• Strong capital markets product knowledge and analytical experience is required. In?depth knowledge of Basel International framework and US Final Basel requirements
specifically for Securitization exposures
• Strong technical expertise and solid understanding of capital markets products, credit
documentation (e.g. credit agreements, servicer reports) and complex structures and
associated risks (synthetic loans, derivatives)
• Performing quantitative analysis and assess relevancy of the key risk weight
parameters such as Probability of Default, Loss Given Default, Delinquency ratio
under SFA and SSFA regulatory capital rules
• Full understanding of the lifecycle of TB & NTB Securitization and involved in
attribution of valuation movements using sensitivity based analysis
• Strong understanding of regulatory capital best practices and controls, and
interdependencies between Trading Book and Banking Book exposures across
different risk stripes
• Prior experience implementing Basel RWA rules in large financial institutions preferred
• Ability to define, articulate and re-engineer complex processes and procedures, with
appropriate controls, and think both strategically and tactically while driving meticulous
• Exceptional oral communication and writing skills, with ability to synthesize complex
concepts, and translate into "user-friendly" language for multiple audiences, including
senior management, multiple internal constituents and regulators
• Experience in managing risks holistically, covering areas such as systems, data,
models, regulatory requirements, governance, and analytics
• Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce
a polished, high quality, accurate product; tireless work ethic with ability to work well
under pressure
• Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS
Excel and Access (or other database front-end query applications).
• Minimum 10 years' experience in related field
Education Level: Bachelor's Degree in Science, Technology, Engineering and Mathematics
(STEM). Master's Degree preferred. Exceptional candidates who do not meet these criteria
may be considered for the role provided they have the necessary skills and experience.
Primary Location: NAM-US-NY-New York
Secondary Location: NAM-US-Florida-Tampa


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