JOB DESCRIPTION:
Regulatory Policy & Advisory division of bank is responsible for establishing Group level, and certain regional level, prudential regulatory capital policies, and for advising business lines on the impact of these policies on transactions and new products. They act as a Second Line of Defense and provides technical regulatory capital support and guidance to functions and businesses on a full range of transactions and prudential regulatory capital issues, including the establishment of interpretations and governance processes to mitigate regulatory risk. They also monitor new rule developments and other ongoing changes to the prudential regulatory capital landscape. Group covers key aspects of prudential policy, including risk weighted assets (RWAs), capital resources, Liquidity ratios, and leverage ratios, across all relevant risk areas e.g. credit risk, counterparty credit risk, securitization, market risk, etc.
This position provides an opportunity to join the US team as a subject matter expert, with a focus on providing policy guidance on the Fundamental Review of the Trading Book (‘FRTB’) / new Market Risk Capital Requirements within the US Agencies’ proposed adoption of the ‘Basel III Endgame’. Specifically, the role will lead on the analysis and interpretation of FRTB in the US, with an expected emphasis on all aspects of the standardized measure, as well Trading Book / Banking boundary, and internal risk transfers. The role will be based in New York City, however qualified candidates based outside of the New York City area may be considered.
Key responsibilities of Group are to:
- Track new policy developments and formulate regulatory capital policies, accordingly, providing detailed, actionable guidance, distributed to a wide range of stakeholders. The US team is responsible for monitoring new developments impacting the US prudential regulatory capital regime, as administered by the US Agencies – the Federal Reserve, OCC, and FDIC.
- Produce and review regulatory opinions on complex transactions and new products to ensure compliance with Group regulatory policies.
- Provide technical support and guidance to internal colleagues across all businesses and functions.
- Provide technical support on the implementation of new regulatory requirements.
- Drive company response to future regulatory developments and influence the external development of regulatory policy by writing public responses to new proposed standards and discussion papers.
- The Market Risk Regulatory Policy Manager will be responsible for leading on the development of a full library of policy interpretations which lay out company’s approach to aspects of the US FRTB rules which may be silent or ambiguous.
The successful candidate will represent a key element of firms Second Line of Defense, providing both guidance and challenge to senior Risk Owners. Group ensures timely notification of new policy changes that impact calculations of RWAs, the leverage ratio, Liquidity ratios, and capital resources, as well as any related regulatory reporting impacts, and in the case of new prudential capital rules such as FRTB, provides end-to-end policy support to facilitate implementation.
QUALIFICATION DETAILS:
New hire is to deliver FRTB (Fundamental Review of Trading Book) outcomes, Team needs someone who has SME in brand new US market Risk Capital Rules. There is a new regulation proposed by US Government with a new methodology for market risk capital requirements. It would be ideal to find someone with FRTB knowledge with the ability to interpret where the rules are unclear and how it is applied. Need someone who can learn the FRTB rule text, interpret and then be able to answer questions regarding this. This person is a technician. This rule must be fully in place by July 2024 but is not yet finalized and is in draft process, so this is very new.
Someone who understands existing Market Risk Rules would likely have the right mindset on how regulatory capital works.
Competitive candidates will possess the following skills and experience:
Strong technical working knowledge of the prudential regulatory capital rules relating to the calculation of regulatory capital resources, RWAs, and the leverage ratio, with an emphasis on Market Risk RWAs and Market Risk Covered Positions.
Knowledge of these concepts under US (Fed / OCC / FDIC) rules is essential. Knowledge of these concepts under Basel / BCBS rules, and under UK / PRA rules is highly desirable.
Knowledge of the historical / existing Market Risk capital framework under US, BCBS, and/or PRA rules is also desirable.