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