Treasury Capital Planning RWA Derivatives Lead
|Reference # :||21-00625||Title :||Treasury Capital Planning RWA Derivatives Lead|
|Location :||New York, NY|
|Position Type :||Right to Hire|
|Experience Level :||Start Date / End Date :||05/24/2021 / 11/23/2021|
Treasury Capital Planning RWA Derivatives 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.
The senior level role will be part of the RWA Integrity team and accountable for overall determination of Risk Weighted Assets and Supplementary Leverage Exposure for Wholesale and Retail exposures. This includes (i) performing the computational methodologies used to determine RWAs, including any assumptions, interpretations and/or models used to make those determinations, (ii) ensuring the accurate implementation of those methodologies within Major Global Bank's infrastructure, (iii) ensuring models are fit for Basel purpose, have been validated and accurately implemented, (iv) articulating Business and Functional requirements including performing end to end diagnostic assessment for remediation regulatory capital issues.
The position is part of 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 of a senior lead in the RWA Derivatives team, which reports into the RWA Integrity Derivatives Exposure Type Lead. The Spot RWA Derivatives 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 Derivatives, providing critical challenge and driving the diagnostics and remediation of a broad range of Derivatives 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 Senior Lead will be responsible for
• Managing end to end production, governance and controls of Derivatives Standardized and Advanced RWA, and SLE Actuals
• Provide oversight to Shared Services Derivatives team supporting RWA operations and production
• Define, develop and establish attribution and other analytics that can effectively demonstrate exposure, Jump-to-Default (JTD) and CVA RWA calculations for Derivatives 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
• Provide thought leadership and requirements for Derivative 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 Derivatives RWA are applied in an accurate and appropriate manner
• Ensure model changes for JTD and CVA 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. correlation matrices)
• Define, develop and establish CVA RWA governance in compliance with the US Basel regulatory rules
• Ensure second line of defense Derivatives RWA reviews are performed consistently and feedback if any, and comments are addressed in a timely manner
• Manage and address Derivatives 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 Derivative analytics presentations to Lines of Businesses, Senior Governance Group, 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
• Comprehensive understanding of US regulatory capital rules for counterparty credit risk both Basel III and SA-CCR rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
• Full understanding of the lifecycle of Derivatives (bilateral and cleared transactions) notably IR and FX derivatives and involved in attribution of valuation movements using sensitivity based analysis
• Familiarity with a) Interest Rate; b) Equity; c) Credit d) FX and e) Commodity derivatives. Understanding of various structured products: CDO's, credit index products, correlation products, etc.
• 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
• 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.
• Ability to manage multiple priorities and tasks, work well as part of a team, and strong people and influencing skills
• 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-USA-NY-New York
Other Location: NAM-USA-Tampa-Florida
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