FRTB Analyst

Job Description

FRTB Analyst

18 Month W2 Contract

Jersey City, NJ or NYC

$65-$68/hour

A FRTB Analyst is a Financial/Market Risk Analyst who specializes in Fundamental Review of the Trading Book (FRTB) regulatory requirements.

What an FRTB Analyst typically does

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• Analyzes market risk and trading-book positions
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• Supports FRTB regulatory capital calculations
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• Works with Expected Shortfall (ES) and VaR
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• Analyzes risk factors such as interest rates, credit spreads, FX, equities, and commodities
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• Supports the Standardized Approach (SA) and/or Internal Models Approach (IMA)
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• Performs P&L Attribution and Risk Factor Eligibility analysis
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• Works with large datasets to validate trades, positions, risk factors, and P&L
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• Supports regulatory reporting and remediation
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• Works with Risk, Quant, Technology, Finance, and Trading teams
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• Helps translate regulatory requirements into business/technical requirements
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Common skills for an FRTB Analyst

Financial/Domain:

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• FRTB
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• Market Risk
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• Trading Book
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• Expected Shortfall
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• VaR
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• Risk-weighted assets / capital
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• Standardized Approach (SA)
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• Internal Models Approach (IMA)
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• P&L Attribution Test (PLAT)
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• Risk Factor Eligibility Test (RFET)
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• Basel regulations
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• Sensitivities / risk factors
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Technical:

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• SQL
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• Python
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• Excel
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• Data analysis
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• Jira / Agile
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• Regulatory reporting
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• Data lineage and reconciliation
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