Job Description

Reference # : 21-00630Title : Treasury Capital Planning Spot RWA RST & EML Lead
Location : New York, NY
Position Type : Right to Hire
Experience Level : Start Date / End Date : 05/24/2021 / 11/23/2021
Description

Description:

Treasury Capital Planning Spot RWA RST & EML Lead (C14/SVP equivalent)

Join Capital Planning Spot Risk Weighted Assets (RWA) Integrity team within Major Global Bank Treasury
organization. Treasury Capital Planning (CP) team ensures that Client 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 Repo Style Transactions (RST) and Eligible Margin
Loans (EML) team, which reports into the Head of RWA Integrity. The Spot RWA RST & EML
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 RST & EML products including Derivative Finance
Transactions (DFT), 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 RST & EML Team Lead will be responsible for
• Managing end to end production, governance and controls of RST & EML (including
DFTs) products Standardized and Advanced RWA, and SLE Actuals
• Manage a team of RST & EML (including DFTs) product experts and provide
oversight to Shared Services team supporting RWA operations and production of
RST & EML (including DFTs)
• Create and build a RST & EML (including DFTs) governance framework, procedures,
and operating model
• Define, develop and establish attribution and other analytics that can effectively
demonstrate exposure, EAD and RWA calculations for RST & EML (including DFTs)
products 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
RST & EML (including DFTs) 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 RST & EML (including DFTs)
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 RST & EML (including
DFTs) products RWA are applied in an accurate and appropriate manner
• Ensure model changes for RST & EML (including DFTs) 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. correlation matrices)
• Define, develop and establish RST & EML (including DFTs) RWA governance in
compliance with the US Basel regulatory rules
• Ensure second line of defense RST & EML (including DFTs) products RWA reviews
are performed consistently and feedback if any, and comments are addressed in a
timely manner• Manage and address RST & EML (including DFTs) 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 RST & EML (including
DFTs) RWA 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
Qualifications:
• Comprehensive understanding of US regulatory capital rules for RST & EML (including
DFTs) products credit risk 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
• Strong technical expertise and solid understanding of capital markets products, credit
documentation (e.g. credit agreements, GMRA) and complex structures and associated
risks (synthetic loans, derivatives)
• Full understanding of the lifecycle of RST & EML (bilateral and cleared transactions)
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
• 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-US-NY-New York
Secondary Location: NAM-US-Florida-Tampa

150586

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