Risk Reporter-ENO- Large exposure reporting
Credit Suisse
Pune, Pune, India
5d ago

We Offer

As part of RFDP Capital, team members will be responsible for the below :

  • You will validate credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective using different methodologies like SACCR,Monte Carlo, CEM etc.
  • You will validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
  • You will be able to re-compute credit risk exposures for data quality or methodology issues.
  • To analyze SACCR EAD / Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.
  • Demonstrate Ownership of Exposure outputs by analyzing the same for Default Risk RWA, CVA RWA.
  • Identify and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and / or Partial revaluation) risk calculators
  • Develop practical solutions to regulatory requirements for Capital-related reporting.
  • Interaction with various partners like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing.
  • Deep understanding of Basel3 & Large exposure reporting regulations along with Margining, Wrong way risk, CCP default waterfall, IOSCO & Leverage ratio
  • You have Post-Graduate degree in Finance / Statistics / Economics / Sciences / Engineering / Mathematics
  • You have completed CFA / FRM / Actuarial / PRM qualifications
  • You have 2-4 years of work experience in a financial institution with good product knowledge of derivatives and lending products, deep understanding of Risk management tools and techniques
  • You have good analytical skills to identify the scope of issues and ability to provide appropriate solutions
  • You have deep understanding of life cycle of a trade and risk management concepts
  • Knowledge of Demonstrate Basel Capital ratio’s, IOSCO, SACCR, Standardized approach, Shortcut approach
  • You have knowledge of regulatory risk topics such as RWA, EPE & EE from Basel 3 regulations perspective. Knowledge of Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-
  • securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers in counterparty credit risk space is helpful

  • You have the ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
  • Knowledge of SACCR EAD calculations & derivatives portfolio valuation
  • You have experience of working with the output of finance and risk systems with machine learning platforms
  • You are driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other
  • You have strong communication skills including ability to interact successfully with partners
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