Espec Riscos Mercado III
Core
Technical specialist for calculating, analyzing, and monitoring market risk regulatory capital, focusing on the implementation and evolution of the Fundamental Review of the Trading Book (FRTB) framework in Brazil.
Role type
Senior IC market risk regulatory capital specialist (FRTB implementation)
Builds
Regulatory capital calculations and reporting for the trading book under FRTB standards
Domain
Banking / Financial Risk / Regulatory Capital
Required skills
Market risk regulatory capital calculation, FRTB framework (Standardised Approach, SBM, DRC, RRAO), Financial product risk factors, Market sensitivities and Greeks (Delta, Vega, Curvature), Regulatory interpretation and business rule translation, Large-scale data analysis, Cross-functional collaboration
Preferred skills
FRM, CFA, Basel III / FRTB specialization, Spanish language proficiency
Technologies
None explicitly stated
Responsibilities
Execute and analyze market risk regulatory capital calculations under FRTB; Implement and evolve the Standardised Approach (SA) and Brazilian regulations; Analyze Delta, Vega, and Curvature components including risk factors and aggregations; Evaluate regulatory treatment of financial instruments; Perform capital variation analysis and sensitivity studies; Reconcile positions and market data; Investigate calculation discrepancies; Specify functional requirements for capital calculation systems; Support UATs and validations; Interpret Central Bank of Brazil and Basel Committee norms; Interact with Trading, Treasury, Finance, and Technology teams; Support audit and governance processes.
Seniority
Senior, hands-on IC