Risk Management-Market Risk VaR & Capital Group - Analyst

The Firmwide Market Risk VaR & Capital (MRVC) team is seeking an Analyst level professional to support the implementation, calculation, analysis, and reporting of Market Risk RWA. The Analyst will ensure that the existing Basel III and the future regulatory framework, i.e. Fundamental Review of the Trading Book (FRTB), are properly implemented and maintained at the Firm and Legal Entity levels. The individual is expected to understand the methodologies and inputs used for Value at Risk (VaR), Stress VaR, Incremental Risk Charge (IRC), Comprehensive Risk Measure (CRM), and Standardized Specific Risk. The team works closely with Capital Management on rule interpretation and interfaces with Market Risk Management, Market Risk Middle Office (MRMO), LOB business partners, Quantitative Research and other groups to manage the controls and explain the RWA measures.