FRTB Project - BA & PM's

The assignment is to work on the Non-Modellable Risk Factor (NMRF) charge within the upcoming FRTB regulation. The client proposes 2 streams: Rates (including Domestic Markets, Emerging Markets and Repo curves) and Equities. The team will contribute to the implementation of the Non Modellable Risk Factor regulation. Background Under FRTB, there is strict criteria on the modellability of risk factors.

A risk factor is eligible to be included in a bank’s internal model, provided that the following criteria are met: Based on 'real prices ‘, actual transactions, committed quotes, data can be provided by 3rd party vendor (if transaction processed through the vendor and agree to provide evidence on request); A risk factor must have at least 24 observable “real prices”, with no 90-day period with less than 4 observations over a one-year calibration period Or a risk factor must have at least 100 real price observations over the one-year calibration period.

The above criteria have to be assessed on a

quarterly basis

. If a risk factor is identified as non-modellable it has to be capitalised under a stress scenario risk measure (SSRM) calibrated to be

at least

as prudent as the expected shortfall calibration (i.e. a loss calibrated to a 97.5% C.I. over a period of extreme stress for the given risk factor).

Objectives of the assignment Mapping VaR Risk Factors to Pricing sources in order to ensure accurate risk factor modellability assessment.

Deliverables Assessment of the client’s interpretation of the regulation against industry best practice across different jurisdiction Mapping Risk Factors to Trades (internal and external) & Pricing Sources (including classification) Identification of Real position against flat marking of Risk Factor and documentation

Desired skill set

Professional qualification in mathematics, statistics, physics, engineering or finance/econometrics or a PhD in another Science or engineering field with an interest in finance modelling. Broad knowledge of the theories and practices across the Global Markets function and their interaction with each other combined Expert knowledge of FRTB regulation, with a focus on NMRF regulation and implementation Financial products expert: Swaps, Govies, Fxswap, xccy swap, etc.. Proficient in Python and XL implementation A role model in the ability to quickly adapt their behaviour, style, approach, priorities, communication or working methods according to the needs of the task, individual/group, situation, constraints and circumstances. Recognised by others as a highly effective communicator. Can present or skilfully communicate complex ideas, strategic and critical messages or ideas to large, culturally diverse and unfamiliar audiences, including in conflicting situations, both across and throughout the hierarchy and/or the top management.