Fundamental Review of the Trading Book (FRTB) commenced in 2016 and is the joint responsibility of the Front Office and Traded Risk Management to implement.

FRTB rules require substantial changes to modelling, infrastructure and Financial Markets, Risk and Capital operating models. The project is organised into three streams:

  • FRTB Model Development - end-to-end definition, implementation, integration and validation of the technology solution.

  • Capital Impact and Regulatory Engagement - the provision of (mandated) external and internal quantitative impact studies; regulatory interpretation and advocacy, regulatory and industry engagement and local regulatory adoption.

  • Capital Optimization, Change Management and Target Operating Model - definition, planning and implementation of the parallel run and live activities for FRTB operating models and transitional impacts of new regulatory regime on Market Risk Capital.

  • To provide technical solution analysis on FRTB localization analysis, requirements gathering, and impact assessment/co-ordination of technical changes driven by regulation.
  • Preparation for impact of local regulatory consultations and publications on the Group FRTB solution, confirm local ownership of the impacts of same on TB/BB boundary, use of own sensitivities, IRT etc.
  • Work directly with Country TRM/Finance and Group Capital colleagues to reconcile product scope and coverage providing recommendations on end state operating model locally and ensuring readiness for 2025 PRA reporting.
  • Feed into the delivery of internal regulatory reporting capabilities for FRTB market risk, across multiple regulators and all in scope asset classes driving out design questions and prototyping of strategic FRTB capital management information system for internal users.
  • Validate FRTB capital numbers generated in SIT, UAT and production environments for newly implemented/modified capital models/localizations and internal reporting capabilities from risk systems.
  • Support preparation of Capital Management, Risk Management and Front Office colleagues for the implementation of the new FRTB market risk capital regime through comparative analysis, requirements documentation and support training of same to explain the impact of technical changes driven by FRTB at Solo/Sub and Group hierarchy.
  • Input into route to live activities e.g., Operating models presenting context/content to wider audiences, including Accountable Executives and Risk Committees.
  • Assist in the preparation of anticipated or ad-hoc regulatory engagement including the drafting of specific responses to regulatory questions.
  • Assist in the analysis of the impact of local regulatory applications including supplying of analysis to support decision making locally e.g., BA CVA vs. SA CVA.

MUST

FRTB - min 2 Years experience

Key Experience:

  • Understanding of complex technology components of large change programs within financial services
  • Financial Markets pricing, risk model and reporting implementation
  • Full life-cycle software design and implementation
  • Investment banking technology
  • Trading and Risk Management Skills

Traits:

  • Risk and regulatory project-savvy
  • Integrity and initiative
  • Analytical and problem-solving
  • Strong communicator - written and verbal.
  • Organized and agile in responding to changing priorities
  • Cultural sensitivity and diversity aware
  • Continuous process improvement and sharing best practice

Knowledge:

  • Computer science concepts - algorithms, data structures, complexity, concurrency / parallelism
  • Market risk sensitivities and capital
  • Controls, processes, and Operating models.
NICE TO HAVE

n/a

Luxoft Poland

Luxoft Poland

Warsaw
2000

Luxoft, a DXC Technology Company is a global digital strategy and software engineering firm with over 17,000 international employees within its 58 offices in 29 countries. It is headquartered in Zug, Switzerland. 

In January 2019, Luxoft was acquired by U.S. company DXC Technology. Luxoft partnered with LG Electronics to create a next-generation Autonomous Mobility concept vehicle that integrates consumers' personalized digital lifestyles into a driving experience. Luxoft enabled Switzerland's first Blockchain based e-vote platform with the City of Zug and Hochschule Luzern's Blockchain Lab.

Luxoft, a DXC Technology Company is a world-renowned company. It has been present on the Polish market for over 13 years. We have offices in Krakow, Warsaw, Wroclaw, and Gdansk. We employ over 2,000 professional experts carrying out projects for over 100 clients from the financial, automotive, medical, tourist industries, etc. We work for many international clients, including the USA, Great Britain, and Switzerland.

So far, Luxoft Poland has made a name for itself as a company that offers work on innovative projects, we offer various experiences in the field of IT, opportunities for rapid development, an extensive training program, and attractive benefits for employees.

At present, 62% of Luxoft Poland employees come from Poland, and 38% from around 50 countries, including Ukraine, Brazil, India, Turkey, Spain, Portugal, Italy, Romania, USA, etc.

At Luxoft, a DXC Technology Company almost 80 percent of employees are experts with the "Senior" experience level, with at least five years of experience. We care about our employees, so every day we try to provide them with the best possible conditions for work and development.

Technology is our passion! We focus on top engineering talent means that you will be working with the best industry professionals from around the world. Because of that, Luxoft is a global family with an epic atmosphere – we love what we do!