Senior Specialist, Market Risk Reporting at BNY Mellon / America Jobs

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Senior Specialist, Market Risk Reporting

at BNY Mellon in Pennsylvania

Role opportunity:

The Market Risk Reporting team at BNY Mellon is responsible for daily market risk reporting of the bank’s Trading Book. We perform reconciliation, quality controls for daily market risk reports as well as backtesting of our VaR models. The industry as a whole is in the midst of designing and implementing our bank’s FRTB framework in preparation of the anticipated 2025 go-live date.

We are looking for a team member to help assess our current reporting infrastructure and workflow, identify gaps or new required processes, design, build, and implement our new FRTB reporting framework.

Responsibilities:

Develop a deep understanding of our end-to-end risk reporting process by performing daily reporting functions such as quality control checks of our risk engine inputs and outputs, diagnosing reporting issues, performing VaR models backtesting, etc.
Perform end to end analysis and review of our current Basel 3 reporting process
Utilize your knowledge in Basel/FRTB framework, identify gaps in our current process
Help design, build, and implement our new FRTB program
Work cross-functionality with Technology, Front Office, Finance, Desk Risk Management, Market Risk Modeling to ensure successful implementation of FRTB framework by go-live date
Provide business requirements to be implemented by Technology
Update our current policy and procedures to reflect new FRTB requirements
Participate in the implementation of SA-CVA calculator
Apply broad knowledge of market risk management best practices, financial markets, trading instruments, and/or portfolio management in support of analyzing, monitoring and measuring risk
Partner with the business to help them achieve their objectives within the Risk Appetite of the firm. Assist in the development and implementation of tools and procedures to measure and monitor multiple risks hierarchically and across the entire organization
Handle market risk data analysis, reporting, and monitoring for the business(es) supported and for market risk management, ensuring accuracy and correctness; develops appropriate tools, partnering with Technology where needed.
Use existing strategic relationships to influence at all levels of the organization.

The ideal candidate will possess the following qualifications:

5-7 years of experiences in market risk and or front office risk preferred
Extensive knowledge of current Basel 3 and FRTB framework
Background in math, statistics, finance, economics, risk management, operations research, or a similar field preferred
Broad understanding of major financial instruments and their associated risk profiles
Being able to extract and analyze large volume of data using technical tools such as SQL, VBA, Python, etc
Had experiences in building dashboards/reports using Tableau and/or Power BI
Ability to think strategically and independently
Highly detail oriented, organized, and analytical
Excellent written and verbal communication skills, including the ability to translate business needs to clear and concrete requirements for Technology to implement
Experiences in VaR model backtesting is a strong plus
Experiences in Counterparty/Credit Risk and CVA is a strong plus

BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer. Minorities/Females/Individuals With Disabilities/Protected Veterans.
Reference : Senior Specialist, Market Risk Reporting jobs

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