Capital Risk Lead - Vice President

Capital Risk Management Vice President

Capital Risk Management (CRM) is an independent, second line of defense function dedicated to overseeing the firm's capital management and ensuring compliance with the Basel Regulatory Framework and jurisdictional requirements for Material Legal Entities (MLEs). CRM is structured into specialized groups that collaborate to address all aspects of the firm's capital risk objectives.

As the Vice President within the Capital Risk Policy (CRP) group, you will provide independent policy interpretation, escalate regulatory capital issues, and ensure compliance with Basel rules for capital estimation models. You will review internal controls, offer policy guidance, and assess structured financing transactions, ensuring proper documentation of capital policies and rule interpretations. Additionally, you will critically evaluate Basel III Endgame (B3E) NPR assumptions and advocate for effective B3E implementation, supporting the firm's robust capital risk governance in a dynamic regulatory environment.

Job Responsibilities Support the firm's capital governance framework through independent (2nd Line of Defense 2LOD) research, interpretation, and application of relevant regulatory guidance and policy interpretations to maintain compliance with publicly issued regulatory capital rules in a dynamic and complex regulatory environment. Scope of coverage includes, but is not limited to, areas such as market risk, GSIB, SLR, TLAC, and emerging asset classes like cryptocurrency. Proactively monitor and assess market economic drivers and macroeconomic factors to analyze changes in Risk-Weighted Assets (RWA) and capital requirements. Evaluate and model market risk scenarios to inform capital planning and stress testing. Provide timely, actionable challenge to internally developed capital policy guidance and exposure categorization recommendations to business stakeholders, ensuring ongoing adherence to both internal and external capital rules and standards. Oversee and coordinate comprehensive market risk regulatory capital model reviews across multiple jurisdictions to maintain consistency and compliance with global standards. Critically evaluate complex market risk pricing models, analytical tools, and calculators to verify alignment with current Market Risk Capital Rules (MRCR), FRTB, and other regulatory capital frameworks, as applicable. Collaborate with model development (QR) and validation teams (MRGR) to address findings, implement enhancements, and document model governance processes. Partner with Capital Risk Coverage, Capital Risk Analytics, and IT teams to design, enhance, and maintain robust market risk dashboards and analytical tools focused on capital metrics under current MRCR and future FRTB frameworks. Drive automation and process improvements to increase efficiency, accuracy, and transparency in capital reporting and analytics. Support ad hoc analysis and reporting requests from senior management and regulatory bodies.

Required Qualifications, Capabilities, and Skills Minimum of 5 years of relevant experience in market risk, capital risk, or capital risk policy within a financial institution or regulatory agency. Advanced degree in Finance, Mathematics, Financial Engineering, or a related quantitative discipline. Deep understanding of current and evolving regulatory capital regulations (in relevant jurisdictions), including capital calculation methodologies, processes, and governance for market risk. Experience with regulatory frameworks such as Basel 2.5, FRTB, GSIB, SLR, and TLAC. Strong knowledge of fixed income and equity market risk, including derivatives, margin requirements, and hedging strategies. Familiarity with the impact of macroeconomic trends and market events on capital requirements. Highly organized, detail-oriented, and capable of managing multiple complex projects and competing priorities in a fast-paced environment. Demonstrated ability to think strategically, identify emerging risks, and deliver actionable solutions. Excellent written and verbal communication skills, with the ability to distill and present complex technical capital risk concepts to both technical and non-technical audiences. Strong interpersonal skills and a collaborative approach to working with cross-functional teams and stakeholders at all levels. Advanced proficiency in Excel and Python for data analysis, modelling, and reporting.