FRTB Analyst

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

• Analyzes market risk and trading-book positions


• Supports FRTB regulatory capital calculations


• Works with Expected Shortfall (ES) and VaR


• Analyzes risk factors such as interest rates, credit spreads, FX, equities, and commodities


• Supports the Standardized Approach (SA) and/or Internal Models Approach (IMA)


• Performs P&L Attribution and Risk Factor Eligibility analysis


• Works with large datasets to validate trades, positions, risk factors, and P&L


• Supports regulatory reporting and remediation


• Works with Risk, Quant, Technology, Finance, and Trading teams


• Helps translate regulatory requirements into business/technical requirements

Common skills for an FRTB Analyst

Financial/Domain:

• FRTB


• Market Risk


• Trading Book


• Expected Shortfall


• VaR


• Risk-weighted assets / capital


• Standardized Approach (SA)


• Internal Models Approach (IMA)


• P&L Attribution Test (PLAT)


• Risk Factor Eligibility Test (RFET)


• Basel regulations


• Sensitivities / risk factors

Technical:

• SQL


• Python


• Excel


• Data analysis


• Jira / Agile


• Regulatory reporting


• Data lineage and reconciliation