FRTB IMA Editor / Model Submissions Editor (FRTB IMA)

FRTB IMA Editor / Model Submissions Editor (FRTB IMA)

Working with a leading global bank to secure the services of a FRTB IMA Editor to join the team based in London. As part of the Fundamental Review of the Trading Book regulation, the bank needs to work on a large-scale regulatory application document.

To help facilitate this challenging task, we are looking for an enthusiast candidate willing to make the difference, leveraging breakthrough technologies. The ideal candidate will have a blend of expertise in product coding and in financial markets, but coding and product ownership is a must.

Responsibilities:

• Support the Global head of regulatory and capital implementation.

• Provide guidance and input into the IMA application for submission to the regulator.

• Supervise and provide guidance in the phase of writing application documents such that they are deemed fit for purpose by the stakeholders. The requirements need to be comprehensive and cover all the aspects of the new capital calculation.

• Be able to leverage data science and technology to support the application.

• Supervise and provide guidance in the execution phase making sure that the requirements are fulfilled and that main milestones of deliveries are fulfilled.

• Liaise with stakeholders in Traded Risk such that FRTB deliveries is in line with the expectations from stakeholders.

• Liaise with stakeholders from FRTB Programme such that issues are timely escalated and a path to resolution is found.

• No adverse regulatory or internal audit feedback on the operational readiness stream. Control process is in line with internal and external regulation (PRA, SOx, KPMG, etc.)

• Successful application to the regulators of the new capital model

Key skills:

• FRTB IMA experience 

• FX and EQ derivatives product and associated pricing methods knowledge

• Understanding of capital calculation, eg VaR, tail risk

• Python as a core language for development

• SDK and IDE experience and good practices, eg using git, github, VSCode/pyCharm, commenting code at scale.

• Experience using pytorch for deep learning modelling/inferencing (with CPU and/or GPU)

• Some experience on code optimisation that you can share

• An understanding of product development and ownership, desire to move fast and make a difference with state-of-the-art technology and data science

·         One successful Proof-of-Concept story to share where you had a material impact (it can be about a PoC related to financial markets or not at all)

·         An understanding of what code productionisation requires and the challenges associated, eg optimisation, w.r.t timelines

·         Experience with deploying code bases in production

·         Experience with market risk regulatory concepts

·         Interest with the FRTB regulation and related challenges for banks

Please apply now for immediate consideration and further details.

Keywords: FX and Equity Derivatives, Pricing, Capital calculation VaR Tail Risk, Python, SDK, IDE, Git, VS code, pyCharm, Pytorch, Productionisation, optimisation.

Scot Lewis Associates Ltd is acting as an employment business.