Basel Measurement & Analytics Derivatives Project, Analyst

Job description

Team Description the Basel Measurement & Analytics (BM&A) group within TCIO is responsible for calculating, analyzing, and reporting firm-wide RWA for wholesale credit risk and retail risk stripes. The RWA measures feed into corporate functions to quantify and determine regulatory capital requirements and support external regulatory filings and disclosures. BM&A is responsible for the business requirements to develop and manage the Basel infrastructure and ensure calculations are in compliance with internal capital policy and related guidance. In addition, BM&A supports ancillary activities to perform impact analysis on methodology changes driven by new rule proposals, support RWA component of CCAR, Resolution & Recovery, Pillar 3 Disclosure, and Quantitative Impact Studies (QIS) for regulatory agencies. The BM&A Derivatives Team is responsible for assessing regulatory policy, driving enhancements to infrastructure needed to support risk regulatory reporting processes related to Basel methodology, and RWA reporting (specific to derivatives). The candidate will be responsible for producing RWA related to derivatives exposures under Basel 3 rules, analyzing quarter-over-quarter chang...