Sr Analyst Credit Risk
SOCIETE GENERALE
Bangalore, Inde
6d ago

Responsibilities

  • Monitoring, Producing, Certification of Credit VAR and other Counterparty Risk metrics majorly for Trading books & reports & monitoring of counterparty limits overshoots, Regulatory Reporting’s, Validating & Back testing EAD (IMM Model) on Daily, Monthly & Quarterly basis.
  • Recalibration of relevant & updated Market factors for Simulation.
  • Understanding Counterparty Credit Risk framework & understating Regulatory Requirement for Credit risk & have a strong Operational governance to adhere to requirements.
  • Work closely with Sales / Trader / RISQ to have a CVaR simulation
  • Assist in development to maintain and enhance the existing process and procedures and guidelines
  • Analyze & certify the limits under overshoot by checking Credit work flow been respected prior to trade with the counterparties and challenge for Evidence if required.
  • Back testing to prove MTM & MTF arrived by the RISQ tools is as expected by benchmarking against BO & FO tools for spot & future time buckets, requiring to have strong product, Model & Risk Knowledge across different asset class and developing strong understanding of Front Office & back office tools

    Profile required

    Knowledge & Experience

  • 2 5 years of experience in Product control. Experience in Counterparty Credit Risk is an added advantage.
  • Bachelor’s degree.
  • good to have skills : Perusing FRM or CFA.
  • Good Product Knowledge across all Asset classes, Good model & RISK knowledge.
  • Industry knowledge is preferred.
  • Good understanding of FO & BO Tools.
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