Senior Vice President- RWA Controllers

1 week ago


Long Island City, United States Hispanic Technology Executive Council Full time
Job Summary

The Senior Vice President- RWA Controllers will be part of the RWA Controllers team and accountable for overall front to back process and control review of critical data elements of Risk Weighted Assets (SA-CCR) and Supplementary Leverage Exposure for Counterparty Credit Risk (CCR) exposures as well as Advance RWA (CVA RWA as well).

Key Responsibilities
  • Manage end to end production, governance and controls of Derivatives Standardized and Advanced RWA, and SLE Actuals
  • Ensure RWA calculations and Reporting process, Governance and Controls Framework is well-defined, transparent and documented in a comprehensive manner
  • Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements for Derivatives RWA are applied in an accurate and appropriate manner
  • Ensure model changes for JTD and CVA are well understood, implemented and tested for regulatory notification and submission. This will include developing insights estimating impacts because of model changes and periodic updates to underlying referential data (e.g. correlation matrices)
  • Define, develop and establish CVA RWA governance in compliance with the US Basel regulatory rules
  • Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
  • Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
  • Develop senior management-ready materials, particularly Derivative analytics presentations to Lines of Businesses, Senior Governance Group, Independent Risk Management, Finance and Regulators
  • Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
  • Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Requirements
  • Bachelors Degree in Science, Technology, Engineering and Mathematics (STEM). Masters Degree preferred.
  • 7+ years experience in related field with relevant experience
  • Comprehensive understanding of US regulatory capital rules for counterparty credit risk both Basel III and SA-CCR rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
  • Full understanding of the lifecycle of Derivatives (bilateral and cleared transactions) notably IR and FX derivatives and involved in attribution of valuation movements using sensitivity based analysis
  • Familiarity with a) Interest Rate; b) Equity; c) Credit d) FX and e) Commodity derivatives. Understanding of various structured products: CDO's, credit index products, correlation products, etc.
  • Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
  • Prior experience implementing Basel RWA rules in large financial institutions preferred
  • Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
  • Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics.
  • Ability to manage multiple priorities and tasks, work well as part of a team, and strong people and influencing skills
  • Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
  • Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications)

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