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Capital Management oversees the end-to-end risk-weighted assets (RWA) and capital measurement process across the Firm, and to help ensure efficient and appropriate management of capital. Capital Management is an arm of Corporate Finance, and partners with functional groups across the firm inclusive of market risk, model developers, corporate financial reporting and line-of-business product controllers to establish control and governance best practices and accountability for the regulatory capital process to generate the firm’s risk-weighted assets.
The Basel Measurement & Analytics (BM&A) group within Capital Management is responsible for calculating, analyzing, and reporting firmwide RWA for market risk, wholesale credit risk, and retail risk stripes. The RWA measures feed into corporate functions to quantify and determine regulatory capital requirements and support external regulatory filings and disclosures. Capital Management BM&A is responsible for the business requirements to develop and manage the Basel infrastructure and ensure calculations are in compliance with internal capital policy and guidance. In addition, Capital Management BM&A supports ancillary activities to perform impact analysis on methodology changes driven by new rule proposals, support RWA component of CCAR, Resolution & Recovery, Pillar 3 Disclosure, and Quantitative Impact Studies (QIS) for regulatory agencies.
The BM&A Derivatives Team is responsible for assessing regulatory policy, driving enhancements to infrastructure needed to support risk regulatory reporting processes related to Basel methodology, and RWA reporting (specific to derivatives). The candidate will be responsible for producing RWA related to derivatives exposures under Basel 3 rules, analyzing quarter-over-quarter changes in RWA, working with LOB controllers and credit officers to determine variance drivers such as portfolio changes, policy updates and capital treatment. The candidate will manage the adjustment process and be owner of data issue identification, tracking, and resolution.
Specific responsibilities include:
Monthly production cycle for RWA calculation and reporting, including Basel 3 Standardized RWA and Supplementary Leverage Ratio reporting.
Perform ad-hoc quantitative impact analysis on the firm’s RWA under Basel rules based on input parameters or infrastructure changes – specific to Derivatives exposures.
Provide analysis in support of RWA trends and forecast-to-actual variances.
Support external regulatory filing deliverables, including Forms FR Y-9C, FFIEC 101, FR Y-15, and Pillar 3 disclosures.
Evaluate and manage controls on key processes and functions.
Prepare objective analysis that provides perspective to senior management to support decision-making on key issues related to regulatory capital.
Bachelor’s degree and 1-4 years’ experience in Finance, Risk Management, or related field.
Experience with Basel Capital Rules is preferred.
◦ Experience and technical understanding of derivative products.
◦ Exceptional excel/database/desktop skills.
◦ Ability to work in pressure-oriented environment and able to handle multiple tasks.
◦ Strong analytical, critical thinking, and problem solving skills with a track record of execution against deliverables; including the ability to take ownership and work independently while contributing to the broader team.
◦ Results oriented individual who can execute tasks within aggressive time frame.
◦ Excellent interpersonal skills necessary to work effectively with colleagues at various levels of the organization.
◦ Self-motivated team-player. Must possess the ability to research and resolve issues independently while working across teams to acquire needed information.
◦ Excellent organization and control focus.
◦ Superior attention to detail and process-orientation.
◦ Ability to synthesize and analyze large amounts of data to ascertain key facts and trends.
◦ Ability to develop strong client relationships and gain consensus on key decisions.
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