Market Risk Stressed RWA Modelling

March 7, 2026

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About the position The Vice President (VP) will be responsible for leading and developing CCAR market risk RWA models within the bank's Risk Modelling COE group. This role will drive the production needs and support various workstreams which will be responsible for calculating the bank's regulatory capital of trading book portfolios. This role will have a high level of visibility within the organization with opportunities to work directly with other groups. The ideal candidate should have a strong understanding of market risk models, and a solid grasp of financial markets as well as US regulatory framework. Responsibilities • Lead the development of CCAR market risk RWA framework to provide coverage for current and future regulatory changes. • Develop business requirements for capital calculations, analytics and reporting on behalf of the team. • Work closely with risk technology and data team to implement the models. • Build strong relationships with various stakeholders, including market risk managers, trading desks and finance to drive team's deliverables and priorities. • Ensure compliance with regulatory requirements and industry best practices related to market risk capital calculation. • Coordinate with Model Risk and Validation to resolve model risk findings and ensure models meet regulatory standards. Requirements • Bachelor's degree in finance, statistics, mathematics, or a related field is required. • Minimum of 5 years of experience in market risk modelling including VaR/SVaR, stress testing and risk sensitivities. • Strong knowledge of market risk concepts, stress testing framework, and regulatory requirements (e.g. Basel 2.5, Basel III). • Proven track record of developing regulatory-compliant market risk RWA models and related analytics. • Strong knowledge of financial products, derivatives, and market risk factors. • Excellent communication, analytical and problem-solving skills. • Ability to work collaboratively with cross-functional teams and build effective relationships with stakeholders. • Proficiency in statistical programming languages (e.g. Python, SQL). Nice-to-haves • Advanced degree (MS or PhD) is highly desirable. Benefits • Competitive salary range between $155,000.00 and $195,000.00. • Annual discretionary incentive award. • Competitive portfolio of benefits. Apply tot his job

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